Consider this journey JFK->MUC->ZRH (MUC is just a flight connection). When does the passenger actually enter the Schengen zone? Munich or Zürich?
You should enter the Schengen area and get an entry stamp in Munich. I never had the occasion to connect in Munich but Schengen flights typically depart from another area in the airport and are not subject to any systematic passport checks on arrival, hence the need for a border check in the first airport in the Schengen area. That's also why “transit privileges” do not apply when transiting through two airports in the Schengen area.