Thank you for a great question.
I would like to start by clarifying some terminology.
First, nascent RNA refers to an RNA molecule that is currently being transcribed and has not been processed. Processing can include the splicing out of introns or polyadenylation at the 3' end, for example. Mature RNA is (typically) spliced and polyadenylated.
Second, the current consensus definition of an exon is a transcribed region of the genome whose sequence can be found in mature RNA species. Importantly, there are two classes of exons: non-coding exons, and protein-coding exons. I think you may have these confused and I have included an image to help clarify the distinction between introns, coding exons, and non-coding exons, using the human GAPDH gene as an example.
In the figure, the solid blue boxes represent exons, which are present in the mature mRNA. These exons can contain both protein-coding and non-coding sequences, as I mentioned. For example, exon 1 of GAPDH contains only non-coding information that belongs to the 5' untranslated region (UTR) while exon 2 contains both coding and non-coding sequence information.
When you view the RefSeq annotation, you are viewing all exons (coding-and non-coding). For some of the genes, such as GAPDH, the first exon will be non-coding. Other genes may begin with a coding exon (I have yet to find one and since the 5'UTR is involved in ribosome binding, I am doubtful that many examples exist).
The regions of an mRNA molecule beyond its coding sequence are referred to as the 5' and 3' untranslated regions (UTRs).
I hope this helps answer your question.