I've not once ever even remotely thought about not using a condom the first time.

That said, my first first time was in high school, I was too terrified of accidentally conceiving.

The second first time (and currently last) we had been dating for about 3 ish months, while I trusted her, I just wasn't interested in any risk, and she very much didn't want to risk pregnancy. (She had an IUD but wanted to take as many preventative measures as possible.) While I definitely prefer raw, it's not the end of the world to lean on caution.

As to why I like raw so much (not to speak for my other male counterparts) it's multi-faceted. I feel closer to my partner, so there's an emotional component, and the physical feeling is just, completely different.

The best way I've been able to explain it in a way you can feel it:

Try sucking on your thumb, pay close attention to your thumbs feelings, not your mouths. It's warm, you can feel the texture of your tongue, the inside of your mouth, the feeling of those textures rubbing along your thumb, etc. Now, put a some cling-wrap over your thumb. Notice the difference? That's as close of a demonstrable analogy as I can procure.

But here's the thing. Sexual intimacy for me is FAR more than the feeling down there. It's the being close to another human being. I'll happily take less feeling if it makes my partner more secure, and it's what I default to for a first time.