This is a pretty normal thing. It's been like this since there has been a history in PS. In your settings, you can tell it how many history states to save for any particular project you are working on. Preferences > Performance > History States. As you can see, I have it set for 50. So it saves the last 50 things I did to the project. So when you start, the first thing in the history is called "New". Then everything after that complies after that. You can do 49 things to the image before that "New" goes away. But once you hit that 50th action, the "New" will disappear and you will no longer be able to go back to it. Here it is as the first thing, with 49 actions after it... There are 49 brush tool events after the "New". But once I put in that next brush stroke, the "New" is gone. You can change that number from 50 history states to whatever you would like. But remember, if you go too high with it, your RAM will start to get filled up too much remembering all of those history states. 100 works for a lot of people. Give it a try and see what works for you. Remember, as long as he "New" is there, you can click back to the very beginning. PS: Depending on how and what you open will determine that name "New". In this case, I just started a new project with a white background from the home screen, hence the name "New". But if you open a jpeg, the name will be "Open". If you go through Camera Raw and have it open as a Smart Object, it will be called "Open as Smart Object".
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