At least as far as the Immaculate Conception, I think you could say it was first mentioned by the Angel Gabriel as the Annuciation. When he greeted Mary as “full of grace” and blessed among women.
There’s a lot to learn in the faith. I’ve been Catholic since infancy and am only beginning to learn- how much I have to learn!
For instance, John the Baptist was born without original sin as well. Not conceived without it, but born without it. He (and Elizabeth) were cleansed of original sin at the visitation.
It’s also possible that St. Joseph was cleansed of original sin post-conception but pre-birth.
Why do you want to be Catholic?
If it is because you think it is the Church of the true faith, accept that. Even when something is confusing to you, accept that if the church teaches it is true- then it is true. The problem of understanding is on our end of things.
Pax.