What does it mean when APS editors ask us to "list first page" for some refferences?
I believe they mean that the complete citation in the back of the paper should include the page number of the reference in the journal/book where it was published.

For instance, in APA style:

Einstein, A. (1918). Prinzipielles zur allgemeinen Relativitätstheorie. Annalen der Physik, 360(4), 241-244.

Here 241-244 are the page numbers of the journal where the paper was published, and 241 is the first page.