You should know that the verb 'go' has two past participle forms: 'gone' and 'been (to)'.
If you say, 'She has gone to a concert.' you only mean that she is on her way to it, or maybe she has just got there. But still, she hasn't experienced the concert yet, there is no implication of her being there and back. No experience!
More importantly, the verb form 'gone' is the only form that can be used in this sentence.
If you say, 'She has been to a concert.' you mean everything - she went to a concert, she saw the concert, and she returned from the concert. It's all about her experience!
Again, more importantly, the only from of the verb to be used here is 'been to'.
Now, speaking of the structure in question:
if you say, 'It was the first time she had gone to a concert.' you only imply her action of going somewhere, without its aftermath - we don't actually know whether or not she got there to see the concert;
if you say, 'It was the first time she had been to a concert.' you get everything in it!
Remember one thing:
'I have been to Greece.' the form of the verb 'been (to)' is the past participle of the verb 'go', and not 'be'! You can never say that somebody is to somewhere, can you?
She went to Greece. [the verb go]
She has gone to Greece. [the verb go]
She has been in Greece. [the verb be]
She has been to Greece. [the verb go]
That's it!