How to handle the CEO expectations from a company that's new to data science?
I have not worked as a data scientist.  But managing expectations is something we've all done. Considering you're referring to the company CEO, tact is especially required.  There are three practices that have helped me a lot over the years:


Never say "it can't be done" right away.  Many, many, many times I have said that (as a programmer), only to think of a solution later on.  When I'm skeptical that something can't be done, I've learned to say, "Can I think about it and get back to you?"  That approach has kept egg off my face many-a-time.  It also gives me time to do some research.
Even when something can't be done, focus on what you can provide. If the requested solution is unrealistic for some reason, try to think of what is realistic and offer that.
When discussing what can and cannot be realistically done, clients often don't care about the technical details (even though that's what excites you, and what you want to talk about).  Be ready to go into the technical details if asked, but start off with a very high level explanation.  Rather than focus on the negative details of why something cannot be done, describe the positive details of what it would require to accomplish the task. That shows you have thought it through, and that you're trying to be team player rather than a road block.