I know there are much earlier examples, but the earliest warning about this behavior I could find in 60 seconds of searching is from the comp.lang.lisp FAQ, posted more than 30 years ago, in 1992:

    Mar 21, 1992, 1:00:47 AM
    Last-Modified: Tue Feb 25 17:34:30 1992 by Mark Kantrowitz
    ;;; ****************************************************************
    ;;; Answers to Frequently Asked Questions about Lisp ***************
    ;;; ****************************************************************
    ;;; Written by Mark Kantrowitz and Barry Margolin
    ;;; lisp-faq-3.text -- 16886 bytes
    
    [...]

    ----------------------------------------------------------------
    [3-9] Closures don't seem to work properly when referring to the
    iteration variable in DOLIST, DOTIMES and DO.
    
    DOTIMES, DOLIST, and DO all use assignment instead of binding to
    update the value of the iteration variables. So something like
    
    (dotimes (n 10)
      (push #'(lambda () (incf n))
            *counters*))
    
    will produce 10 closures over the same value of the variable N.
    ----------------------------------------------------------------