Not the first ever sci-fi movie, but....Metropolis. The reason I finally went blu-ray.
Whether you agree with elements of the movie or not...Metropolis did establish that SF could make a commentary about humanity and technology and do it well. The other side of the coin might be "Things to Come", which again puts society in the hands of a chosen few "elite" but with different results. These two films can make you wonder why such commentary and budgets were not applied to the copycat system of movie making more often.