This is a slight twist on the common aphorism that "The early bird gets the worm", i.e. that being the first one, a pioneer, means you're also the first to face the danger. Here, they're alluding to possibly apocryphal situation where the Roman emperors would sacrifice Christians to the lions in the Coliseum for sport.
The emperor Nero is referred to as the first persecutor of the Christians by Lactantius. After the Great Fire of Rome in A.D. 64, when rumours swirled that the emperor himself was responsible, Nero blamed the Christians instead. According to the Roman historian Tacitus, Nero had the Christians covered in wild beast skins and torn to death by dogs.
This is also sometimes expressed with the phrase, "The early bird gets the worm, but the second mouse gets the cheese."