Immune reaction to "new" protein
You are absolutely right in that there will be immune reaction against proteins that are not naturally present in the body.

However, hemophilia is not caused by complete lack of protein. It is due to loss of function of the clotting factors due to mutations. The proteins are still present, but they do not have the ability to bind and/or activation of their catalytic function. So, there will be no immune activity against exogenous clotting factors given to hemophiliac patients.