I kinda had the same thing happen, still in my first cycle at the moment. I think it takes a while for the arimidex to build up in your system. My nipples got itchy 2 -3 weeks in so I upped the dosage from .25mg eod to .25mg daily. I still had a little itchiness for about a week on the increased adex dosage. I then increased to .5mg ed.
Of course the adex started to build up and my E dropped too much causing aches stiffness and lethargy. Dropped back down to .25mg ed and have been fine since then, no itchiness or sensitivity.
For my next cycle I will try 0.25mg adex eod 1-2 weeks before starting anabolics, then increase to ed if necessary as the cycle progresses.