Emission control holds 1st to increase RPMs to heat Cat Conv.
I have a '92 400e that does exactly the same thing. In fact, when it is extremely cold, the car has a totally different shifting behavior than under normal conditions. The shift from 3rd to 4th is very soft and slow when the car is still cold. As operating temp increases, the shift behavior normalizes. I am not far from my 90K service so I may be a tad low on tranny fluid plus it has some age on it...Should be improvement with service...good luck and don't worry about the 1st gear hold.

__________________
Jeff
'87 300E
'92 400E
'06 ML350