I can give you a few reasons :)

• For frequent fliers, in the United States, they typically want to be seated first so they have space for their luggage in the overhead bins.
• Also, first class will often receive "pre-flight" beverages. This is a nice "added" perk to paying all of that extra money for the first class ticket.
• On larger airplanes, you will sometimes notice that First Class will board the plane and take a left turn to their seats, while other classes will board the plane and take a right turn toward their seats. This is likely a preferred method for those who frequently fly in First Class because, as you mentioned, they don't have to be bothered by everyone else boarding.

If I try to think about it in more detail, I can probably come up with a few more reasons.. but in either case, Good Post!

I hope my comments help you/others understand the airlines' reasoning :)