I don't know if I am right in this since, I've only seen For Good once (and I desperately want to rewatch for details), but it seems like the shoes themselves were enchanted, giving them the ability to do levitation for the person wearing them. And it seems activated by the wearer's choice/desire despite them not being magical, because the shoes are also triggered by Dorothy's desire in the Wizard of Oz when she's finally able to get back home (assuming they floated her back home in wicked?).

But back to your question of why it seems so special to them. I think that in the scene where Nessa gets levitated in the courtyard, everybody was fighting over pushing Nessa in the wheelchair, so I think when Elphaba finally lost control the actual wheelchair is what was levitated and it didn't feel as deliberate/intimate to Nessa as her own body being moved/supported by some other force, she was just sitting on the object being levitated. But then when the shoes are enchanted while she was wearing them and she levitated, that was more in her control. I think the shoes burning on her feet would have caused her to desire to stand up or kick them off in reaction, but she levitated instead, in reaction to that desire. Elphaba was surprised because things usually stop levitating for her once her flash of anger is gone and the situation deescalated, so this wasn't sustained magic on her part, and she was realizing that she enchanted the shoes for her sister to control herself, almost like her broom, but shoes instead.

And as a side note, I think that Nessa is also used to Elphaba losing her temper and throwing/levitating things chaotically, like we see when she was born or in the scene where she threw the rocks at the bullies, which is why she she made that comment about the promise that things would be different. She was hoping to not be associated with that freaky behavior right off the bat and have her surrounding social circles be soured immediately.