I'm having the same issue. I think it's because I have the default
routes off, but I can't find any reference to what the route should
be. If I put the default routes back in just to test, it works.
Wait, I just checked the source. You should see something like this:
So, in your case, just make sure that /users/set_user_first_name/ is a
known route and you should be good to go.