the problem in your AL4 is the 2 sealing rings at the end cover part number 2215.15Opening this again - terribly sorry everyone!
As far as AL4's go, this one is as good as they get, smooth shifting, no limp mode BUT the 2007 C4 with only 70k on the clock is having this same issue as the OP.. delay engaging first.
After being driven for about 30-45 minutes, regardless of speed and conditions, engaging first gear won't engage straight away with about a 3 second delay, this is followed by a loud thud and large kick from the gearbox. When accelerating again before the gearbox has been able to engage first, it'll roll as if it is essentially in neutral.. slowing down to engage reverse also has the same effect as I believe 1st and R share the same solenoids. Like the OP, no mechanic has been able to reproduce the problem (god damn it). Through it's life the box has had transmission oil 24 monthly with the proper AL4 PSA oil.
So this problems (on my mothers car) has apparently been an issue for about 18 months now, at first on and off. I originally thought it may be the lower solenoids, unlike the third gear solenoids, but that doesn't seem right. After reading here I suspect it may be the multifunction switch or speed sensor on the actual transmission.
IS there a conclusion for whats causing this issue? ie parts wise (please don't be $$$ frenchy)
if you will continue to drive it in this condition and every time it will get hot and the 1st won't engage you will brake the F3 Brake bend