The claim that Thales was the first philosopher is not something Thales said about himself. It is a judgment Aristotle made roughly two centuries later, in the opening book of the Metaphysics, where he surveys earlier thinkers as a way of setting up his own theory of the four causes and singles out Thales as the first to propose that a single material substance underlies all change, water in his case, making Thales the founding figure of what Aristotle calls inquiry into the material cause specifically.
That framing did more than describe the Milesians, it created the category later history has used to read them. Aristotle's student Theophrastus systematized the same material into the Opinions of the Physicists, a doxography, a structured record of what each earlier thinker held, organized around exactly the question Aristotle had asked, and it is chiefly through Theophrastus, quoted and summarized by still later compilers, that fragments of Anaximander and Anaximenes survive at all. The effect is that modern readers meet the Milesians already sorted into Aristotle's own categories, material monists answering a question about underlying substance, when the little that survives in their own words suggests broader concerns, Anaximander's apeiron doing ethical as well as physical work, that the inherited frame does not fully capture. Aristotle did not merely record the first chapter of philosophy's history, he wrote the table of contents everyone since has read the Milesians through.