there is a bonus for being an adventurer in need

there is a bonus for ASSISTING some one's first run through the dungeon

there is a roulette bonus if you queue one of the roulettes.

I dont think there is an actually first completion bonus (per job) like there is with the guildhests.

leveling via dungeons is definitely useful. Especially if you are leveling a healer or a tank since the queues are short. and the xp from mobs in the dungeon will be better than out in the open world. If you are leveling a DPS, your best bet is to do levequests while waiting for your dungeon queue to pop.

I went from 40-50 BLM in 8 hours by doing coerthas/mor dhona levequests while queued for Dzemael Darkhold and Stone Vigil (i gave up on Aurum Vale looooong time ago)