Here's why:

* Prokaryotes (like bacteria and archaea) lack a nucleus and other membrane-bound organelles. Their genetic material is located in a region called the nucleoid, but it's not enclosed within a membrane.

* Eukaryotes (like protists, fungi, plants, and animals) have a nucleus and other membrane-bound organelles.

* Protists are the simplest eukaryotic organisms. They are thought to have evolved from prokaryotes through a process called endosymbiosis. This process involved a prokaryotic cell engulfing another prokaryote, which eventually evolved into the nucleus and other organelles.

Therefore, Protists are the first kingdom in the evolutionary tree to have developed a nucleus.