Do you know why that is? That's very interesting.
Not sure if it is still the case, but it used to be that First did a fairly naive foreach over the IEnumerable while Where has several collection specific type checks that allow it to use MoveNext and maybe other more efficient ways to traverse the collection.
LINQ is parsing a tree of System.Linq.Expression here and the cases of First(pred) etc. are just not optimized because of the added complexity with little benefit. It only recently became a problem when Visual Studio got a new built-in analyzer that tells people to "optimize" this.
If you're using LINQ on a list, it will not use Expressions, but a plain Func. So nothing will get parsed either way.
The difference, as @sbelskie already mentioned, is that Where has an optimization for List, while First only uses the naive enumerator.
When using LINQ also be aware that .First(predicate) is significantly slower than .Where(predicate).First() when called on List<T> and T[]. This is true for essentially all methods like Last, Single, Count etc. Don't trust Visual Studio when it's telling you to "optimize" this.
But if you want the last bit of performance, you shouldn't use LINQ anyways.