it's funny, in French engineering schools we have the opposite reaction; in "prep" schools students are taught OCaml which is their first programming language if they're not geeks.

Functions returning functions seem a natural thing as they are used to the exact same kind of abstraction in math (and even sometimes order 3+ functions when you study duality!). Conversely, they are initially puzzled when they are taught Java in their engineering school because of the difference between static variables and attributes, constructors and other unnatural concepts.