This is a common response. When you think you missed something you believe that seeing it again might give you that second chance to spot it and you won't be left with a slight 'reconciliation issue' in your mind. What many don't realize is that in some cases seeing it multiple times won't help ... and it might even leave you more confused about what's really going on.
There are many effects that are structured specifically for the anticipation that the spectator will want to see it more than once ... and the effect is setup to be done more than once within a given set ... often with a slight variation with each iteration just to keep you off balance a bit.
I know it isn't worth much here ... but knowing how it's done really isn't the better place to be. We live in this world where we have unprecedented information available to us ... and we generally have it nearly instantaneously. It's no surprise that one who is unsure about what they just saw would be wanting to fill in the blanks and understand what they just witnessed ... to be able to reconcile the discrepency between what they know they saw ... and what the cognitive part of their brain says is not possible.
So when you see an illusion and you're not sure exactly what you just saw ... it's ok to ask ... but don't be surprised if your request doesn't get fulfilled ... unless of course it's one of those that are designed for multiple presentations in anticipation of the 'C'mon ... Do it Again' reactions that are common with great effects.