When they do, they get into trouble. When my LDS wife was at BYU, she was part of an off-campus discussion group. They discussed a lot of the teachings in the JoD, but also went beyond that. They asked that same question about the first Father (how, when and where did the very first god become a god? Or was possible that the first god was always God?), and decided to research the LDS scriptures and the JoD to see if there were any hints at an answer.
This went on for a few months until someone ratted them out. Boyd K. Packer came down from SLC with names, meeting times, etc. He gathered the group members together along with an official from BYU and the BYU stake president. Packer told them to cease these speculations immediately or face expulsion from BYU and possible Church discipline.
Needless to say they disbanded the group immediately and were afraid even to speak to one another from then on. They never found out who the informant was.
My question, when my then-fiancee told me about this, was “Why is it okay to speculate about God the Father having sex with his daughter Mary, and it is okay to speculate about a Heavenly Mother, and it is okay to speculate that polygamy will be practiced again during the millennium, but it is not okay to speculate about the first Father?”.
Paul (formerly LDS, now happily Catholic)