What was that?

It's hard to say what exactly it is. Maybe your body is learning how to react to pressure applied to the prostate, or the presence of something in your anus.

If I recall correctly, cramping can sometimes be caused by dehydration, or maybe you're holding tension there without realizing it. Maybe try a different position for your legs. I like the lying-down with knees up position, but I find it easier in bed when I have blankets to help me keep my legs in place. Alternatively, lying on your side should allow you to relax your legs more fully.

Feeling waves of sensation is pretty common, but they can be hard to make sense of at first. It can be an exploration of the vague at first.

@clenchy

And what is the feeling when the waves start to cover? trembling throughout the body? or some other pleasant moments 
Please tell me

There isn't a name for every kind of sensation. Trembling and feeling waves of sensation is typical. But I'd expect these sensations might change over time, and between one session and the next. Don't get too fixated on any of these things as markers or indicators of anything. Muscle cramps aren't typical though, so maybe pay attention to your position and focus on relaxing more?

If you're curious about what sensations have been named (and what they might feel like), it's worth reading the Aneros Wiki as a starting point.

I only got to these sensations, as soon as I inserted the toy into the anus, my legs begin to shake, that's all for now

It's a long-term project and a journey of discovery. A session you have 20 sessions from now will have yet other new things happening, and new subtleties. Just have fun with it, and see where it leads. Don't get too bogged down with analysis yet, because it's something that evolves and grows with practice.

Traditional masturbation can be very mechanical, where "input = output", and that relationship seems static and unchanging, but that's not the case here. Your body learns new tricks, your mind learns to accept new inputs, and the dynamic is shifting and malleable. What you experience with your first few sessions isn't all you'll ever experience, and there isn't anything you're doing wrong necessarily.

My legs shake in front and back, as if this toy has me