It is hard to tell what the pimples are without seeing them. The size and the number of the pimples might have been helpful.
According to the symptoms you reported (pimples in genital area and on legs after shaving and intercourse), it seems likely that the pimples might be caused by skin inflammation due to iritation caused by shaving. The inflammation after shaving is supposed to last for several days, and can usually heal itself if there is no further irritation.
However, a sexually transmitted disease cannot be ruled out as a possible cause without adequate laboratory tests, even when the intercourse was protected, which significantly reduces the chances for transmission.
If the symptoms (pimples) do not disappear within several days, you might want to visit your family doctor who might refer you to either a dermatologist or urologist depending on the possible cause for the pimples.
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