sp_blitzfirst not showing memory grant columns
Do you perhaps need to use sp_BlitzCache instead?

In the source code for sp_BlitzFirst is the line:


  Run sp_BlitzCache @SortOrder = 'memory grant' to find queries with huge memory grants and tune them.


On July 14, 2016, the following changes were made (commit 62b6e9df):


  Put all of the what’s running now work inside an IF statement so it
  only runs if we’re in ExpertMode (to minimize executions, since this
  proc needs to go fast under load.) Cleaned up some of the “memory not
  granted” and “memory already granted” stuff to just be N/A since it can
  mean different things depending on whether the query needs memory.