First Login Page option can be useful when you want to redirect your newly registered users to a specific page – in case they are first logging in to the site using the login form.
This option basically checks whether specific user has logged in to the site at least once or no.
If there are no previous logins and user is trying to login for the first time using login form (and not using the autologin link), that specific user will be redirected to the page set in First Login Page option.
First Login Page option can be configured inside Memberium => Memberships => Edit a membership level and then select your First login page.