Should I publish my first paper in a conference?
Personally, I don't think that it is considered "bad" to publish a conference paper. Even less so, if it is your first paper. Nobody can expect you to release in a top journal of your subject all the time and especially not with your first article.

Where I am from you do not need to publish anything before your PhD, so I am not sure how important this is in your case. From my point of view, though, anything published is better than nothing (in this case at least).