Why cant it be "We're the first" and "there is no great filter"?
Not saying thats my position, but wouldnt that also explain the observed state?
Not entirely, because we appear to be latecomers. The Universe is nearly 14 billion years old, our sun and Earth appear to be 5. So, if you want us to be the first but without a great filter, you have to figure out a mechanism by which absolutely no life could develop for the first 9 billion years of the Universe, but that mechanism no longer applies, and all civilizations are now just starting to appear all around.
"We're the first" is shorthand for "we're the first species to pass every great filter until advanced technical civilizations."
If you assume that life-capable planets are extremely rare => great filter at planetary formation
If you assume that complex life is rare => great filter at apparition of life or complex life
If you assume that intelligence is rare => great filter at the intelligence stage of evolution
etc...
Basically, since a naive-numbers Drake Equation leads to an overcrowded galaxy chock-full of intelligent species, we have concluded that at least one parameter in the equation is horribly small vs expected. That parameter is a Great Filter (because it divides the equation in two realms - the hopeful and the heir to the stars). All of the real debate these days is "which one".
We're close to exclude the planetary formation one, because exoplanets are dime a dozen, and we still suffer from bias in that the non-viable ones are the easiest to detect currently. All of the rest are... still possible.
Which is why native life on Mars (as opposed to a panspermia between Earth & Mars) is a terrible news. The fact that we're alive doesn't let us deduce anything about the probability of life itself, since the conditional probability is always 1. Having life on Mars, Europa or anywhere else in the Solar Systems makes it very likely that apparition of life is not a Great Filter... which makes all other Great Filters more likely, including the one on our species/civilization lifetimes. And if you find anything more complex than a simple bacteria, it gets worse because you knock down two Great Filters for the price of one.