Hi Mahdi,
I think the First Ones passing 'beyond the rim' should be seen more as a metaphor. The First Ones had outgrown our Galaxy, they'd outgrown the need to have empires and had even outgrown their physical bodies, and were ready to move on. The implication is that beyond the rim there is a higher realm of existence. This is highlighted in Sleeping in Light, when Sheridan dies but Lorien takes him 'beyond the rim' to a place where he can still exist.
I'm thinking that the rim is a bit of a red herring. In reality, there isn't even a defined rim to the Galaxy, the stars just gradually thin out in the Galaxy's halo. The there's a lot of empty intergalactic space, before you reach more galaxies. So perhaps the rim that the First Ones went beyond was more metaphysical, leading to some kind of higher dimensions or paralel universe.
Ultimately, I think the point is that its meant to be a bit of a mystery, and its up to us to make our own minds up about it. And that's what I love about B5.