Why are pi bonds only formed when sigma bonds are formed?
A $\pi$ bond has a plane of symmetry along the bond axis. It cannot be formed by s-orbitals; it needs at least p-orbitals to be created. $90\,\%$ of all bonds described some time or another are somehow involving carbon, nitrogen or oxygen. (In fact, I probably underestimated). But these elements can only use p-orbitals to create $\pi$ bonds. To do that, one needs a p-orbital that is ortohogonal to the bond axis. So you run into the problem that you have an orbital pointing in one direction, but want to bond into another direction — hardly optimal, especially since there likely is already another orbital pointing in the direction you need to give a $\sigma$ bond.

Transition metals can use d-orbitals for $\pi$ bonding. They can actually point towards the atom they want to bond with so there is a greater chance of using them due to higher overlap. However, there will usually also be a different orbital pointing directly in the bonding direction which again will bond earlier and would give a $\sigma$ bond.