Explaining undergrad transfer on application to grad school
If there were no GPA problems at the first school, then there's nothing in that first transcript to look askance at; hence, no explanation needed.

However, the specific change you made, from engineering to pure math, might help your application.  Perhaps a small anecdote will help me explain why.

When I took my Calculus III (multivariate), it happened that my fellow students had no patience for proofs.  They were overwhelmingly engineering students. One of them became a self-appointed spokesman for the impatient majority, and would interrupt the instructor in the middle of a proof of a major theorem: "Excuse me, Ma'am, could you skip the proof, please, and go straight to the applications?"

Not all engineering students are like that; and to be fair, the large number of credit hours they are frequently expected to take per semester isn't conducive to stopping to smell the roses.

Conclusion: a brief mention in the essay or cover letter of your change of major from engineering to math might help your application.