Tips for being the first graduate student of a PI?
Speaking from the US perspective, there are a couple of pros and cons I can make:

CONS:


You will be the one who sets up a research environment (especially if you are only grad student of your PI, and no postdoc involves). Setting up the lab, the equipment, learning softwares, training newcomers will fall on you. And you will be expected to keep up with classes at the same time. 
If your PI hasn't written a grant proposal before or doesn't have the grant to cover most expenses, you will feel the pressure getting useful data to support the proposal. This pressure will be more than what your peers feel. If their grant is not enough to fund you until the end of your MS/Ph.D., you will most likely end up in a stressful situation financially.
Even though you did your rotation with them, you probably do not have a clear idea about your PI's personality and won't have any students of them to ask. 
Since your PI will not be tenured yet; if they cannot get tenure on time or their position is ended earlier than expected by the university, you might have to find another PI and even change your project completely. 
The entire grad school experience might be lonely and isolating for you.


PROS:


You will have a lot of room to grow, and you will have more freedom about what you are doing compared to other graduate students.
You will learn the skills that other PhDs will probably learn in their postdoc years or later.
You will be involved and exposed to all aspects of research. This would be very valuable in both academia and industry.
New PIs are most likely to collaborate with other PIs, so there is a chance your name will end up in more publications compared to other graduate students.
Your PI will also grow with you, and there will be a learning curve for them too. It can be an excellent chance to establish a great friendship and support each other.


Overall, it is essential to establish a good working relationship and learn to say no when necessary. Do not be afraid to say when it is overwhelming or if you cannot handle it. In the end, you are the student, and they are the PI. They are there to support and advise you. I hope you have a great graduate school experience. :)