The title of your post emphasized FIRST handgun, and I take it to mean there will be more to follow.

Any handgun collection should have a .22. They are inexpensive and cheap to shoot. A .22 will allow you to pracitice and become proficient at shooting a handgun. You could shoot a thousand rounds a day for a week with a .22, and not go broke. Try doing that with a centerfire handgun, even with "cheap" 9mm ammo. In addition, no matter how many handguns you eventually aquire, you will still take the time to shoot your .22, because they are just plain fun.

A .22 will not fulfill many of the needs you listed; I doubt any single handgun can accomplish that. To meet all of your needs, I recommend you have more than one handgun. Seriously. I don't think there's one handgun that will do it for you.