This sounds like a MCAS reaction to the pressure or fabric.

hydrocortisone cream might help. if it doesn't, try lidocaine in a gel or a patch, that's the only thing that helps me when I have that kind of reaction to wearing clothes

If you're worried about MCAS you can easily and quickly do one test at home for "dermatographia" which is just a fancy way of saying skin writing. If you lightly scratch your skin with a clean nail and then within several minutes your skin raises and sometimes becomes an itchy rash, then that's a potential indication of MCAS and something to discuss with your Doctor. You said you had a rash and they gave you an EpiPen even though you weren't anaphylactic, one thing to know is that an allergy can any time go from mild to anaphylactic, it doesn't always get more severe each time and we have no way of predicting it, which is likely why they gave you an EpiPen. As for your actual question, sometimes I think my legs are itchy after taking off compression socks because they're getting more blood in them after it being reduced all day. I don't actually know if that's the case but I find gently rubbing them to help the blood flow as I sit in a position that puts them slightly below or level to my heart to slow that transition sometimes helps. I tend to watch tv on a couch with my legs propped up as I take them off and then gently massage my legs. I hope you can find what works for you.