This is a pretty common questions, and the answer is pretty much always one of two things.

A. The razor might not be sharp enough. I'm not sure if the razors sold by classic shaving are really "shave ready" or not, but I'm sure somebody here knows. If it's not sharp enough, there's a number of members who can get it in shape for you.

B. Technique. It takes a lot more skill and a practice to get a good shave with a straight than a DE. Most all of us agree that a straight gives a better shave once you know what you're doing, but that can take a little while. Just keep practicing and you'll get there.