In Macbeth, the first time I have any impression at all of Macduff is when he comes to wake up the king as he was asked by Duncan to do. To me, this says several things. First, it tells me Duncan did not want Macbeth to be the one to wake him up. Perhaps this is a bit of social etiquette; however, it would have been an honor to have such a privilege, and he overlooked Macbeth. Second, it tells me Duncan sees Macduff as a trustworthy thane and friend. The king was most vulnerable, of course, when he was asleep; whoever was commissioned to wake him up had to be someone he trusted in those vulnerable moments.
Shortly after, of course, Macduff is lamenting the loss of his king. He does not appear to be moved or impressed by Macbeth's rash killing of the king's guards; he does, however, treat Lady Macbeth with concern for her softer, gentler female spirit which may not be strong enough to hear that her king has been murdered under her roof--a delicious irony, of course, for she is anything but faint of heart.
I add to those impressions as I read further, but those are my first impressions, as you asked.
This is an excellent question! As you can see from the difference in the answers, first impressions are always in the eye of the beholder. Seeing Macduff performed by two or three different actors in two or three different live productions or films of Macbeth, might cause you to even have two or three "first impressions," based on the staging choices made in each version.
This is just one of the many ways in which a play, unlike a novel, really is unequipped (through consultation of the text alone) to sufficiently answer a question like yours. But, if we are only to consider the text without benefit of an actor's characterization...
For me, the first impression would come in response to Macduff's first entrance, which has been noted is as the straight man to the Porter. When seen live, the Porter's interjection into such a tense and dramatic scene (Lady Macbeth and Macbeth arguing about the murder) really jars the play out of the dramatic into the comic. And Macduff rides in on this comic wave, completing the comic setups fed him by the Porter. Then he transitions almost immediately from comic straight man to relayer of tragic and gruesome news. He says:
O horror, horror, horror! Tongue or heart
Cannot conceive nor name thee!
This in response to whatever state the stabbed body of Duncan must be in. In this moment, the audience, as well as Macduff, must transition from comedy to high drama in an extremely short span of time.
It is true that we do not actually see Macduff until Act II, scene 3 where he plays straight man to the Porter. It is Macduff who discovers Duncan's body and announces this information to the rest of the people gathered. The news he must give them is so horrible that he cannot just say that the king is dead. Instead, he says, "Confusion now hath made his masterpiece./Most sacrilegious murder hath broke ope/The Lord's anointed temple and stole thence/The life of the building." This metaphor conveys the magnitude of what has happened.
He does not seem to accept what then transpires and instead of going to the coronation of Macbeth, he goes back to his home, Fife.
I contend, however, that we hear about what a valiant and great battle commander Macduff is in Act I, scene 1. After hearing in graphic detail Macbeth's actions on the battlefield, another man appears with a report. That man is Ross, a kinsman of Macduff. When asked from which battle he has come, he informs the king that he is from Fife. Who is the Thane of Fife? Macduff. Ross then goes on to tell about the attack of the Norwegian king and how Ballona's bridegroom confronted the traitorous Thane of Cawdor and subdued him in battle.
Just about every editor of Macbeth has identified in a footnote that Ballona's bridegroom is Macbeth. This makes absolutely no sense whatsoever. Ask yourself, why would Macduff, the Thane of Fife, give over command of his troops to another thane, Macbeth? Both being Thanes, they are of equal rank. And just how did Macbeth get to Fife from his battlefield further south? Why does Macbeth NOT know of the defection of the Thane of Cawdor if he had just fought with him in a battle? Shakespeare's audiences would have easily made the connection that the reference to Fife meant that Ross was talking about Macduff, his kinsman, not Macbeth who was at an entirely different battlefield.
Shakespeare, in the very first scene of the play, was setting up the two men, Macbeth and Macduff as protagonist and antagonist and setting up the final confrontation. By mistakenly identifying Ballona's bridegroom as Macbeth, the balance Shakespeare intention has been thwarted.
So, in answer to the question, for me, my first impression of Macduff comes from the information Ross gives in I, 1 and I see a valiant battle commander who successfully defeats the Norwegian forces and captures the traitor.
One may ask why Duncan rewards Macbeth with the Thane of Cawdor's lands and title. The answer is quite simple. He saved Malcom's life.
It must be remembered that Shakespeare wrote for the theatre. Editors, for the most part, are scholars and not actors or directors, so what might make sense to a theatre person may not make sense to a scholar and it is scholars who edit Shakespeare.