I only can think of parsing and altering the content of the reply in an
OnBeforeSendingMessage event script.
Moreover, you probably wouldn't want the /first/ group, anyway, but the
group you directly wrote the reply in. (To indicate the newsgroup, you
are most likely to read any follow-ups in, if you send your answer to
multiple groups, as well...)
In most groups most messages are dedicated ones and not cross-posts.
In each such message mentioning the originating newsgroup in the intro
attribution line is (IMHO) pointless, because the readers of the OP as
well as the readers of your reply /do/ know, which group they currently
reading.
And in cases of crossposts, the leading group (if any) should be denoted by
setting an appropriate follow-up header. This /should/ also be mentioned
somewhere in the answer, itself. (Usually directly above the signature.)
Because there's no way to know, which group you'll regard as main target
(possibly not the one you are writing the answer in), this can not really
be automated.
Therefore, I suggest you leave the %newsgroups% list from attribution,
altogether, and only add such information manually in cases, where this
seems appropriate or even necessary.
HTH.
Bernd