File.Create is doing more than you think here. It’s not just creating the file, it’s also returning an active stream to the file. However, you’re not doing anything with that stream. The using block in your latter example closes that stream by disposing it.
Note also that this is a significant clue about the return value:
File.Create(@"D:\MyDir\First.txt").Close();
(It actually wasn’t intuitive to me when I first read your question, but looking back at it this line of code actually says it all.)
Your next step, calling File.WriteAllText also does more than you think. According to the documentation, it:
Creates a new file, writes the specified string to the file, and then closes the file.
So it would seem that your File.Create call isn’t really needed here anyway.