Reading is a strange business. We start out with high expectations and long for them to be fulfilled - no one reads hoping that they're going to waste their time, surely. So we latch onto whatever we get given in the first paragraph. Aha, we think, that's what this story is going to be about.
And then it isn't.
It's such a disappointment. As a reader, you sort of commit to the first person you see in a story, just like a gosling hatching from the egg. And as you read further, and the story gets further away from the character you started with, half your brain is wondering when we're going to get our real main character back, the one we started out with, the one we bonded with.
I see it in class time and time again. We begin with character X, then mourn X's absence if X doesn't turn out to be the main character. Feedback invariably starts with 'What happened to X?'
In novels this may not be so important - though in published novels, if the story is going to start with a different character, you often see that chapter being called a prologue, or some such, just to alert the reader that they shouldn't commit fully.
But in short stories starting with the character you mean to go on with is vital. Consider this: I see misleading story beginnings in class fairly often, but I can't remember seeing a story that didn't start with the main character when I've been the final judge for short story comps. That implies that the misleading beginnings get weeded out in the initial judging stages.
So, I'd strongly advise anyone to make sure their opening paragraph concentrates on the main character and call me a goose if I'm wrong.