It sold consoles, but it wasn't first party and never was considered to be so, Rockstar is more popular than Sony's first party developers.
Not gonna argue with you on that one. But other than Nintendo and Sonic, "First Party" has never been massively relevant in the gaming field.
*Edit* Except Gran Turismo, but that was more due to the game, than the fact that it was first party.
The only time a First Party game counts, is when it hits a market that hasn't previously been successfully hit by anyone else.
There are more exceptions to that. God of War was a game changer, and the fact that it was so unique also sold millions of PS2, PS3 and PSP. Halo was a very successful game due to the way it changed how FPS games are played on consoles. It sold millions of Xbox, 360 and One. First party games matter, but like you said, they matter more for their own quality rather than being first party games. Good and innovative games have a market but it has nothing to do with exclusivity.
That's why this thread doesn't make sense, I wouldn't buy a first party game over a third party game if the third party game is better just because the other one is first party. That is a regressive attitude that wouldn't help the industry get better, so games should matter to us if they are good.