Since PIE inserts its rendering element as a previous-sibling to the target element, then if that target element was the first-child of its parent it will no longer be. This breaks the :first-child pseudo-class if specified for the element.
Not sure if there's any way around this, besides the author using a class="first" on the element.
One possible workaround: make PIE check whether the element it's being applied to is a first-child, and if so add a .pie_first-child class to the element. That would allow the CSS author to target it with a second selector. Definitely not ideal, but would get the job done. There's precedent for this sort of thing with the .pie_hover class already.
The pie_first-child class is now added to the first-child elements with the behavior attached. However it doesn't properly remove itself if another element is inserted before it in the DOM after the fact.