An old roommate of mine had his first sexual experience in a MFFF foursome. Pretty sure he didn't regret it
but that was more of a drunk casual sex thing and I don't think he knew any of them.
I think what matters is that you trust the person / people involved and that everyone is safe and treated respectfully. Talk about any boundaries and about using protection BEFOREhand. I think safety and respect are way more important than the number of people in the bed.
Oh, and in my opinion the "first time" thing is built up way too much. There will be thousands of other times so don't worry too much about this one