By default, the Kalman filter is initialized at the steady state with the unconditional variance of the states. With the filter_initial_state
you can alter the mean of this initialization. We do not have a interface for altering the variance.
But that does not fix the smoother mean for the first period to a particular value. First of all, we are talking about the initial value before the first observation. Second, the smoother does a forward and a backward pass. The latter will also alter out best estimate of the initial condition.