In the first place has no connotation of time, it just marks the order of considerations, truths, ideas or facts, which can be past, present or future. So it does not matter what tense you use. It just means that the clause used before, is the first argument or consideration that is taken into account. This idiom is
used when listing the most important parts of something or the most important reasons for something
- I'm not going to tell you because, in the first place, it's none of your business, and in the second place, you would tell everyone else. (M-W)
All the three examples you gave are fine, and they all suggest that there is at least one other argument or reason why something is true. See this example from Macmillan:
There were several reasons he couldn’t sleep. In the first place, Peg snored.
Note that, without commas, the idiom is used with a different purpose and meaning:
You say in the first place when you are talking about the beginning of a situation or about the situation as it was before a series of events.
- What brought you to Washington in the first place?
- I don't think we should have been there in the first place. (Collins)