That's an example where, yes, as I said, we have a Hydra that is explicitly stated to be a dragon. Dragons can take whatever form they want when they grow up, and this one chose to take a hydra-like form.
It does not mean that all Hydras are dragons. When I said "unless they're explicitly confirmed to be Dragons", I did not mean to imply that finding ONE Hydra that happens to be a dragon would prove the point.
Goryshche is a hydra. (One of several in Azys Lla, actually.)
Goryshche is stated to be a dragon. (It is likely all the creatures in Gamma Quadrant are dragons, and the Hydras are no exception. I agree this is likely.)
Therefore, all hydras are dragons. (Logical leap; questionable. Dragons can take many forms, including that of a hydra, but that doesn't mean all hydras are dragons.)
Five-Headed Dragon is a hydra.
Therefore, Five-Headed Dragon is a Dragon. (Logical leap; questionable. Voidsent can also take many forms, including that of a hydra.)
Therefore Dragons exist in the Void.
Therefore, Dragons can exist someplace other than the Source.
Therefore, Dragons can exist on the First.
There are many logical leaps there that are not necessarily warranted - not the least of which is that the Allagans ARE one of those rare cases I mentioned who were able to create a powerful enough gate to allow bodily passage between the Source and the Void. Could they have created a gate to the First? Possibly - but we have no evidence that they ever had any inclination to do so. Xande was entirely focused on the Void, from what little we know. While I personally think Five-Headed is just a hydra-looking Voidsent, it's entirely possible that Amon crammed a couple of dragons bodily through the gate in their experiments in creating one large enough to allow the Cloud of Darkness passage.
Basically, finding a category of monster that exists in both places is not enough, due to the shape-changing abilities of both Voidsent and Dragons. These creatures can LOOK like just about anything. Unless we see a creature on the First that is undeniably referred to as one of Midgardsormr's descendants, we can assume that Midgardsormr's descendants exist on the Source, and the Source alone. Even if we got a boss on the first that was the spitting image of Nidhogg or Hraesvalgr, I'd still maintain that they are not Middy-type Dragons unless it was explicitly stated.