Right, they haven't. But that doesn't mean they're not a First World country. They are pretty much independent, the per capita GDP (Gross Domestic Product) is high and that gives a good picture of its economy, the govt is stable, etc.
What is hard to understand is that the definition changed over time. It used to be that first world countries were "under the influence of the US and Europe', or part of NATO. That doesn't hold anymore.