Few would argue that Arneson's Blackmoor was the first fantasy RPG campaign.
When exactly did the first session take place? Month and year?

I just listened to a podcast where Arneson claimed that for "the first couple of sessions" he used Chainmail, which was published in 1971. But Gygax and Perren had apparently published and/or otherwise distributed some of this material in 1970, which Arneson might understandably have referred to as "Chainmail" decades later.

So, the Christmas break of 1970-71? Thanks.

Arneson told the story of being bored one weekend and drawing up Blackmoor dungeon, apparently coming up with the idea of the dungeon for the first time. But it's a bit hard to pin down when that occurred, and it may not have happened that way at all.

So after reading a few (forgivably) fuzzy accounts, it's hard to say whether the 1970 or 1971 was the year when a recognisable pre-DnD game (individual characters, dungeon setting, spells and fantastical foes) was first played. I haven't got access to "Playing at the World" or Appelcline's work, I guess there might be more elucidation there.

So after reading a few (forgivably) fuzzy accounts, it's hard to say whether the 1970 or 1971 was the year when a recognisable pre-DnD game (individual characters, dungeon setting, spells and fantastical foes) was first played. I haven't got access to "Playing at the World" or Appelcline's work, I guess there might be more elucidation there.

It was not 1970. I have surviving examples (maps, campaign accounts) from Arneson's 1970 medievals games in the Twin Cities that would evolve into Blackmoor, and it does not have any fantastic elements or dungeons. Arneson pretty reliably attested, even in later years, that Blackmoor's fantasy dimension started with Chainmail, and Chainmail's fantasy supplement did not exist (not even in a draft form) in 1970.

To Rob, Blackmoor was a fantastic medieval wargames campaign in 1971: there were large-scale battles between troops controlled by the Blackmoor Bunch and the Baddies (largely, though not exclusively, the Egg of Coot). Primarily, it involved maneuvering large numbers of troops on maps and playing out the resulting battles as miniatures. There was also significant involvement with the Great Kingdom and thus the folks down in Lake Geneva, who commanded forces that sometimes factored into these battles as well.  Interspersed in these were Braunstein-like elements, serving roughly like city downtime in RPGs, where people interacted. A good indication of what the role-playing element looked like in this phase of the campaign was the Blackmoor Gazette & Rumormonger #1 - players interacted with hot gypsies, tax collectors, and everything between.

Ultimately, miniature battles remained the focal point of Blackmoor throughout 1972, up to the very point where Arneson demonstrated his work to Gygax. Dungeon adventuring became a hugely popular element of Blackmoor by early 1972 (there are no surviving accounts of dungeons in 1971), but Arneson sometimes spoke of it like it was a distraction from the main event, the miniature battles. His players felt otherwise, so Arneson continually had to punish them for neglecting the big picture by dallying in dungeons.

Which explains the whole Loch Gloomen incident as related in the First Fantasy Campaign.

So curious do you have any antedotes what they did when they first moved to Loch Glommen. Did the Blackmoor bunch "learn" their lesson and refocused on the miniatures. or just continued to poke around for dungeons and treasures in the new area?

The latter.  By the time I started playing Blackmoor in October of 1973, it had recognizably transmogrified into a D&D dungeon crawl campaign.

So what brought about the removal of Yeroconby and Faraaz from the Greyhawk/Blackmoor map?