That, however, is a sentence of set theory, not first-order logic.
Strictly, there's no incompatibility here. First-order formulations of set-theory exist. First order formulations of number theory exist. Both are strong enough to entail the existence of infinitely many numbers.
However, a case can be made for the following: there is no first order sentence which has precisely the content of 'there are infinitely many Fs'. For the first order theorist will need to express this via a sentence that mentions numbers or sets or some other structure, and so, in a sense, the first order sentence will say too much - as `there are infinitely many Fs' does not seem to talk about such things.
I'm not convinced by this line of reasoning for two reasons: (a) it's not clear to me that the concept of infinity *is* really free of a notion of number, and therefore a sensible counter is that number is appearing implicitly here, the first order formulation only makes this explicit. (b) it's not clear to me that the first order formalisation of our concepts in mathematical terms should not be allowed to make use (first order) defined mathematical objects, even when those mathematical objects don't obviously appear in the original proposition being analysed.
It is more typical to see the case made against the first order theorist along the following lines. The first order theorist is unable to formalise even the number system, or the set-theoretic hierarchy in first order terms. The trouble is that there are models for the first order axioms of arithmetic which contain `non-standard' numbers. A number is non-standard if it is greater than 0, greater than 1, greater than 2...
This does seem to lead to problems in defining infinitely and finitely - even if the first order theorist is allowed to talk about numbers and sets: for the above construction seems to show that, no matter what he says about numbers in his first order language, he cannot guarantee that each natural number is the result of a FINITE number of applications of the successor operation.
At this point, a fight ensues about the significance of such model-theoretic results, and matters become contentious. It should be noted that, second order theories in effect avoid these results simply by allowing themselves the ability to quantify over ALL the SUBSETS of the first order domain. If you don't like sets, if you think the concept of all the subsets of an infinite domain are problematic, you won't like this answer very much.
Logicism was an attempt to reduce Mathematics to Logic. But Frege's expanded notion of logic turned out to be inconsistent. In trying to patch the inconsistency, Russell found himself moving to a system of axioms that, while still strong enough to be a foundation for mathematics, despite his efforts, no longer looked like axioms of pure logic. Given this failure plus the fact that ZFC set-theory was a much simpler way of providing a foundation for mathematics, attention turned away from Principia.
Note that in recent years, it has been argued/discovered that one of the damaging axioms of Frege's system was, in fact, never really a good candidate for an axiom of logic; that this axiom could and should be dropped and replaced with another axiom which *does* have a better claim to be a truth of logic; that the resulting weaker system provides a foundation for a good deal of mathematics - not the upper reaches of set-theory - in particular, all the mathematics that has physical or scientific applications. I.e. (say they) all the maths you should care about.
The implication of Godel's theorem depends upon what you were expecting from the logicist project. If you were hoping from your logicism a system which could provide a foundations for all mathematical objects and notions of mathematical truth, I don't think it has much impact. But if you were also hoping for a system in which every piece of mathematics was provable, some kind of system which would reduce all mathematics to a nothing more than a very long and boring algorithm, which would eventually crank out all the mathematical truths and all the mathematical falsehoods, then Godel's incompleteness theorem makes life problematic. For it shows that any sufficiently strong consistent theory, there is some arithmetical statement P such that P is not provable and ¬P is not provable in the theory. Many feel this in an intolerable limitation in logicism. Certainly, it makes it a little harder for those who want to reduce mathematical truth to mathematical provability.