On my first Dmax (2002) I changed the filter at around 3k and I too felt it picked up a bunch. Ever since, I've made it a point to change the first one early, or at least watch the restriction closely. I believe that the first one can get loaded more quickly due to dust contamination in the tank, lines, break in wear, etc.

For future reference and to potentially avoid a premature filter change, we have a very handy test gauge that all Dmaxers should have: