We are counting orders of economic effects, not orders of physical effects.

Burning fossil fuels releases CO2 and other chemicals into the air. Many of the other chemicals directly harm your health when you breath them in, so thatthis air pollution, which is a first order physical effect, is also a first order economic effect.

On the other hand, excess CO2 in the atmosphere, another first order physical effect, has no economic impacts. Breathing in an extra 50ppm of CO2 has little impact on us, perhaps a bit to plants. So the first order physical effect of excess CO2 is not an economic effect. But second order physical effect of excess CO2 is increased atmospheric temperature, which again on its has very little economic impact. Its really the third order physical effects of CO2 (higher variability in rains and seasons, storms, melting glaciers) where we really see the economic impacts (failed crops, destruction of property and human life etc). All of these things cause large direct economic damage, so that is your first order negative economic effect of fossil fuels.