I've had even the cotyledons (the first round ones that come with the seed) stay healthy at 3 or 4 weeks until the stem just gets too big and sheds them naturally. At this stage in growth, you want an exponential increase in leaf area because that will continue to lead to an exponential increase in growth rate and biomass accumulation. I don't think picking off the first true leaves are going to make that much of a difference because they're pretty small compared to the next node of 3-leaflet leaves, but keeping them at that stage allows you to gage the overall health of the plants (IME). It would have been better if you posted a photo of the issue with your first leaves because in such a young plant it's likely something that's going on that may affect future growth - or maybe not. Just a note for next time