A parent link to page that is set to "link to first child" will not open their first child if that first child is also a link to page. The page will try to take you to the first child page that is not a link to page. If there is no page that is not a link to page then you will get a 404 error.
To get the desired behavior, the parent menu item can be an explicit link to the same URL as the first child item. Keep in mind with this approach if a new link is added as the first child, the parent item URL also needs to be modified.