Why do you have sadness in the first Jhana? Why do you have sadness in the first Jhana?

It appears you still have the sadness in first Jhana.
What sort of sadness it is?
The Vitakka and Vicara in First Jhana are wholesome. That is loving kindness thoughts and renunciation thoughts which cannot be leading to sadness.

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While a mendicant is meditating—diligent, keen, and resolute—the faculty of sadness arises. They understand: ‘The faculty of sadness has arisen in me. And that has a foundation, a source, a condition, and a reason. It’s not possible for the faculty of sadness to arise without a foundation, a source, a condition, or a reason.’ They understand the faculty of sadness, its origin, its cessation, and where that faculty of sadness that’s arisen ceases without anything left over. And where does that faculty of sadness that’s arisen cease without anything left over? It’s when, as the placing of the mind and keeping it connected are stilled, a mendicant enters and remains in the second absorption, which has the rapture and bliss born of immersion, with internal clarity and confidence, and unified mind, without placing the mind and keeping it connected. That’s where the faculty of sadness that’s arisen ceases without anything left over. They’re called a mendicant who understands the cessation of the faculty of sadness, and who applies their mind to that end.

https://suttacentral.net/sn48.40/en/sujato
This is an interesting question, because the first jhana explicitly involves seclusion from the five hindrances, one of which relates to domanassa (translated in your quotation as "sadness"). According to the abhidhamma, domanassa can only arise in anger-based minds, which one might think would be totally absent in the first jhana. The commentary to SN 48.40 blames vitakka and vicaara explicitly for the potential arising of domanassa:


  nānāvajjaneyeva ca dutiyajjhānupacāre pahīnassa domanassindriyassa yasmā etaṃ vitakkavicārapaccayepi kāyakilamathe cittupaghāte ca sati uppajjati, vitakkavicārābhāve neva uppajjati.


My Pali is rusty, but this passage basically means that the bodily distress and mental harm which would arise based on vitakka and vicaara do not arise with the non-existence of vitakka and vicaara.

This gives some insight into the nature of vitakka and vicaara as per the texts; they allow for some instability by which the mind still engages in perceptions leading to domanassa, even though the mind is otherwise fixed and focused on a single object (ekaggata).