You keep asking these questions when we have thousands of arguments and debates over it.
He isnt the first to think and feel. He is the first to be able to decide right from wrong by himself. He is forced to constantly worry deeper than any other robot or reploid. Like Sigma said, He feels and worries deeper than other reploids. Rockman himself followed his Justice circuit, which was why he was so dedicated to doing the right thing, but yet Wily was easily able to guilt trip him over destroying his robots. Which is where Light thought Robots should be able to decide whats right and wrong for themselves.
X also has limitless evolutionary potential and a near human soul. He himself was not afraid, he was afraid for X himself. the worry over him breaking the 1st rule is a natural fear with any robot, but he wasnt scared of X. he was scared that humans would not be able to accept his limitless evolutionary potential and would fear it. Thus, he sealed X for the future.
I could be wrong on 1 or 2 things. I'll let Zan, Hyper or any of the other experts elaborate.