Why is it “A first,” not “The first” for U.S Ice Dancing team taking the top spot in Sochi”?

Solution 1:

First can be a noun, a pronoun, an adjective, or even an adverb. You may be getting confused between its use as an adjective (the first time) and a noun ("This is a first!")

A first is an expression that connotes, not only that an event has happened for the first time, but that it's important enough to be noted. It can be used unironically, as in this instance, or sarcastically: "You came to work on time today! That's a first!"

Solution 2:

Think about all the accomplishments that you have achieved for the first time; for example, winning a particular game, reading a particular book, holding hands with a special loved one, getting an answer accepted on English.SE, etc. All of these together are your "firsts." Any one of them is "a first" for you.

Now consider all of the instances of a particular accomplishment that you have had. For example, consider every question that you have answered on English.SE. One of them is "the first."

To relate this to your example, when Meryl Davis and Charlie White won the gold in ice dancing at Sochi 2014, it was a first for Team USA, as Americans had never won the gold before in ice dancing. If an American team wins gold again in ice dancing in the future, the 2014 win by Davis and White will be the first out of all of the ice dancing golds for the Americans.

To address your second example, when Henry Osborne had won his fifth election, you can say that he won a fifth term. That is, out of all the "fifth terms" that have been won by people in the past, Henry has won one of them. When referring specifically to Henry's fifth term out of all of his own terms, it is the fifth term.