>> ... the very first note of the sequence is always shown in standard sheet notation.

Oh, the sheet notation! I can't read that :-), so had completely ignored it.

I would like to see the same notes on the piano roll!, say as labels on the keys "*1", "2", "3", "4" (the same options could control the visibility).

Oh! I completely hadn't really thought of that. So maybe what I could add is an option in the settings where it lights up the first note on the piano roll.

In the meantime you can open the piano roll and set the "Show note labels on key" in the settings so that when it shows the key signature at the top "G Major", you can match it with the corresponding note label.

Great! I had turned "Show note labels on key" already, but had not known that the label at the top tells me the first key. :-) Thanks.