This might be a bug resulting from the recent change wherein Following Only now implies Auto-Follow Replies.
I am Following Only, First Message Also in a group (and had been for a long time) and I did not receive the first message of a new topic today. Since it's one that I wanted to follow (I had referred a member of my group to that group and was waiting to see her post), I happened to be checking the group and saw her message, from five+ minutes ago. But it is not in my email.
I wondered at the time the aforementioned change was made what would happen to people already set up one way or the other, and I had already seen some anomolies in the badges. So maybe this needs a second look?
Messages are the sole opinion of the author, especially the fishy ones.