I read from another member (Q I believe) that the ZF is designed to 'warm-up' the AFT by holding on to 1st when the vehicle is cold. You can either warm-up the trans (idle for a couple of minutes) or use sport-shift for the first change, then all should be okay from then on. At least that's my experience.
As edogg has said, there's also a flash or software update that is supposed to address some issues. Not done this yet, but will be doing so in the near future.
In regard to the transmission service - there are two schools of thought. Personally, I believe in the merits of undertaking a service (drop AFT, pan, clean, new filter, flush twice), however there are others that think you could dislodge some particles and cause problems. I recommend you check out the ZF site for more info first, then decide for yourself.

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08/06 build 4.4i Stirling Grey over black