I didn't know Kosh was one of the first ones. It was hinted at, but I thought Delenn said that Kosh wasn't at one point, because she said all of the ancient guys were gone, and I don't think Kosh is the only Vorlon. Vir and Morden was good, although I thought Londo/Vir in a previous episode (where Londo makes sure Vir stays as his assistant) was a more important thing for him then telling Morden he'd like to see him headless.
The term "First Ones" generally referes to an entire race, usually one that has reached a certain level of technological development or age. The Vorlons were one, but there with others. When Delen says that only one of the First Ones remains, she means only one race, the Vorlons. Technically, the Shadows also qualify as first ones, making it two who stayed behind, but Delen considers them to be a different class of beings because they're the ancient enemy.
No, "all but one" refers to the race, not an individual. The First Ones are various species/races. One of these species/races is still around at this time. The Vorlons. Of which Kosh is one.
This is the part of the series where Vir starts growing a spine and becomes a great character in his on right.