Personally, I like the Grieg and Mendelssohn as first concertos, as they are not that difficult (solo wise and ensemble wise).
Most students in learn concertos in this order:
1. Haydn D major, or some other Mozart (usually 414, 466, 467, 488 or 595) -- before 10 yrs old
2. Grieg, Mendelssohn, Ravel or Prokofiev 3rd -- 10 - 13 yrs old
3. Totentanz, Liszt 1, Rach 2 or Tchaikovsky 1 -- 13 - 16yrs
4. Chopin 1/2, Brahms 1, Rach 3, Beethoven 4 or 5 -- 16 - 18yrs.
Occasionally Beethoven 1,2,3 are taught as a 1st concerto. Shostakovich 2 is also taught as a first concerto.
The Paganini Rhapsody is being seen more frequently played by people who have just finished their second concerto, usually at 13-14 yrs.
*** Please note that this concerto list is not my own, but a compilation of the concertos seen in multiple music festivals over several years in my city