What does Mandos mean when he says 'Not the First'?

[The Squatter of Amon Rûdh]

The passage describing the arrival of the messengers from Formenos suggests to me that Mandos may know of Finwë's death not because he has forseen it but because it has already taken place. It would have taken some time for the death of Finwë to be discovered by the Noldor of Formenos, still more for messengers to bring the news to the Ring of Doom. However, Finwë's fëa would have arrived in the Halls of Mandos very soon after his death, and it could be that amid the confusion the master of those halls would have become aware that a new spirit had come to his keeping.