How can I set initial values for Floating Point Megafunctions??

It might be that aserting aclr (not connected in your design) changes the behavior. My reading of the Floating-Point Megafunctions users guide however is, that the IP isn't prepared to produce defined output during startup. In this case, you may want to add a multiplexer to the design that feeds zero to the IIR loop for some clock cycles to reset the filter.