Sometimes it's how the kilt is made, and sometimes it's the body of the wearer. As Robert says, wear the second strap loose. That can help. Also, the apron edge should be pressed on a flare from the bottom of the fell, and, if the apron edge is pressed parallel to a tartan stripe, you can steam out the original crease and press in a new one on a smooth flare.

Having said all that, if you have muscular or chubby thighs, you'll likely just have to live with it. A kilt is made assuming that the biggest dimension around is at the buttocks. If you have muscular thighs (or fat on the outside of your thigh tops, if you're a woman), the kilt won't be quite big enough to go around the front and/or sides of your thighs, and the first pleat opens up a little. Nothing you can really do about it, frankly. Voice of experience here - I have chubby thighs, and the first pleat (first two, actually) on my kilt always flips open (see photo below):