if you're gonna have a dj all night, it's kind of nice to distinguish the first dance from the rest of the night. Having a woman sing and a lone guy with a guitar is real nice. Might even find relatives of yours or your fiance's to do the job.
For my wedding my best man picked the song and he introduced the first dance as a segway from his speech.
Last wedding I went to they picked some lame song and the dj played it and all I could think of was, "great, now we all know you have shitty taste in music."
So yeah, putting it on someone else either with picking the song and/or performing it makes it an even more inclusive experience as well as lessens the whole, "hey, it's our wedding look at us!"