You’ve deleted the music frame from the First Master Page in the “Default Part” master page set - there is no music frame present on that page at all. That means that, if your part layouts are set to use the “Default Part” master page set, Dorico cannot use the “First” master page, regardless of what’s set in Layout Options.
The fix is to double-click on the First master page in Engrave mode, add a music frame, double-check that it’s using the MA Frame Chain (from the dropdown in the top left corner of the frame) - make sure you’ve done this on both the right page and the left page - hit Apply, then Close.