Why do you think some scholars find Cold War terminology ("first world" and so on) objectionable?

Because the use of that terminology perpetuated the view of certain countries, their peoples and their ways of life as inferior to another, especially those who had better development and better opportunities. It was a terminology that increased the breach between peoples of different origins and cultures, and established a system of inferiority and superiority that was very common during the Cold War era. It also increased the belief that these catgories: First World, Second World and Third World, were immovable and the view was that people from the Third or Second World were below those who were lucky enough to be a part of the more advanced First World.