From my experience, it's because as they kick in, you suddenly have energy and motivation you didn't have before, but you still have the suicidal thoughts until they become properly efficacious.
I'd also like to say, to anyone reading this who is entertaining thoughts of self-harm or suicide: Please, please reach out for help. In my mother's case her suffering was almost certainly compounded by an irrational shame and self-imposed stigma. I'm just an armchair critic, if you are taking medication and you feel like it is helping - it is. If it isn't helping, please talk to your healthcare professionals about alternative treatment - there are always other options that don't involve hurting those who love you