What's special about the first vector

Your book is correct, but silly. It should not have excluded $v_1=0$, but allowed $j=1$ instead. By convention $\operatorname{span}()=\{0\}$ (it is important that the span of every set of vectors is a subspace, so the empty set should give the null subspace), and $v_1=0$ (which all by itself makes the set linearly dependent) would not be an exception, because one can then take $j=1$ (and if there is no linear dependence among the remaining vectors, one has to take $j=1$). So it is just another case of unfounded fear of the void.

The result states (or should) that given an ordered sequence of linearly dependent vectors, there is always one of them that is in the span of set of vectors preceding it. This is always true. Indeed, you can always take the this vector to be the first one to make the sequence-up-to-there linearly dependent. The empty sequence is always independent, and a sequence with one vector is linearly dependent only if that vector is zero, in which case it is in the (zero-dimensional) span of the (empty) set of preceding vectors. If the first is not zero but after some independent vectors a zero vector comes along, then it also in the span of the set of preceding vectors, but that span now has positive dimension. Of course a nonzero vector in the same span, in place of that zero vector, would also have made the sequence dependent; this is in fact the more common case.

$v_1\ne0$ simply means that $v_1\ne 0$. All other $v_j$ may be zero. Note that $v_1$ does play a special role insofar as it is the only of the given vectors that is definitely in all $\operatorname{span}(v_1,\ldots, v_{j-1})$ of the claim. Note that the claim as stated fails if $v_1=0$ and $v_2,\ldots, v_m$ are linearly independant.

You can apply the theorem to different permutations of the $v_i$. But note that the claim differs if you permute the vectors! What you get is that some vector is a linear combination of the others (and that holds even if all vectors are zero). The theorem at hand is concerned with a given ordered seqeuence of vectors and want a vector to be a linear combination of preceeding vectors.

You're essentially correct. But it's another way of saying $v_i\neq 0$ for some $v_{i}$, not all $v_{i}$.