The First exists on another plane altogether, its possible the visual representation is not actually "there" but a localised energy effect projected into the minds of those near it making them "see and hear" something there.
Which explains why no electronic device can record it and why only the people it chooses to become visible to see it. As for it appearing as the dead, possibly the First still needs a "pattern" to base its visualisation on, not being able to touch a living person means the only patterns it can steal/use are those that have passed on and it can therefore in some way touch.
The First as we see it is just a tiny intersection of its true form touching our plane of existence, the full form or extent of the First could be inconceivably massive or powerful.
Caleb become like a lightening rod for the energy it used to appear in our reality, enfusing him with that power, maybe like the Potentials only a very small number of Humans possess the ability for this.
And as it stated itself, it has all of eternity to act, not just our universe but all of them. What does it matter to the First the life span of one Human being or a 50,000 year line of Humans, its been around like forever. It could go on vacation and torment a dozen realities for centuries and come back to Earth later. 😛
Although I really wish it had appeared to Buffy and the gang at the end, in the form of the Mayor and made some remark about them making such a mess, saying it would be back, and ending there. Oh well.