The underlined part is not grammatically incorrect. "Considering what to say" is a perfectly good noun clause. Thus, the exercise is ill-posed. There is no sentence that needs correcting. (A) has poor style because of the asymmetry between "what to say" and "what not to be said". You need to say "what not to say". (C) was a perfectly valid choice for you to make. "To consider what to say" is a good noun clause. (C) is a better choice than (D) because it is closer in meaning to the original.

the phrase "the first thing is to" is very common in the Chinese language but is seldom used in English so the best choice is you must smth but A is incorrect because of the improper ending so choose D

In my opinion A is not grammatically correct.