I don't think this is so much about not wanting to share your son's Firsts so much as it is about A.) wanting some alone time with your husband and child and B.) not feeling comfortable setting up boundaries for other people in regard to your own child.
You are perfectly fine in wanting to spend time as your small family unit apart from and in addition to the time you spend with extended friends and family. That time is precious and it's not the same as when you're with other people. It's just not... it's more intimate and the bonding is different.
When it comes to your fears about your in-laws being overbearing in how they take over care of your son and what they do with him... you have to learn to have a strong voice. Be firm but polite and stand your ground on the things that are important to you.
"He's not ready for ice cream yet, SIL... his stomach is just too immature. However I brought him some of his favorite fruit. You can give that to him instead. What? No... I said no ice cream. When he's old enough for ice cream, I'll let you buy him a cone."
"MIL, I love the food you brought, it's delicious. You want to give him what? He's not ready for that. He tried some last week and it gave him a rash. We have to wait a year before he can have it again. How about we give him this instead?"
"MIL, I know you wanted to take M to ___ to see the ___ but you know how nervous we firs time mothers can be. I would be more comfortable and happy if we all waited on that particular thing until he's a little older and I can supervise better. I wouldn't mind if you take him to see ____."
I have tons and tons of practice in bait and switch with my in-laws. Flatter them a little, take away what they want, and offer a compromise on something they'll be happy with and I don't care much about.
"I know breastfeeding past ____ months seems a bit odd to you, but we decided that this is working for us and it's really healthy for M. We'll stop eventually. Have you ever seen a kindergartener nursing his mom when she drops him off at school?"
I've had practice with that too. Commiserate a bit, let them know the decision to go against their opinion has been made, and then make a joke about it.