By default, XAF doesn't execute the first navigation item when changing the group. But, you can easily change this behavior by customizing the navigation control, and reusing the functionality of the ShowNavigationItemController.
This example demonstrates how to write a controller that will do this. This controller is managed by the attribute. By default, it doesn't select the first navigation item in the group.
These help topics will be also very helpful:
How to: Change Navigation Control Appearance
ShowNavigationItemController Class
Built-in Controllers and Actions