The irreducible unitary highest weight representations (π λ , H λ ) of the group U (∞), which is the countable direct limit of the compact unitary groups U (n), are classified by the orbits of the weights λ ∈ Z N under the Weyl group S (N) of finite permutations. Here, we determine those weights λ for which the first cohomology space H 1 (U (∞), π λ , H λ ) vanishes. For finitely supported λ = 0, we find that the first cohomology space H 1 (U (∞), π λ , H λ ) never vanishes. For these λ, the highest weight representations extend to norm-continuous irreducible representations of the full unitary group U (H) (for H := ℓ 2 (N, C)) endowed with the strong operator topology and to norm-continuous representations of the unitary groups Up(H) (p ∈ [1, ∞]) consisting of those unitary operators g ∈ U (H) for which g−½ is of pth Schatten class. However, not every 1-cocycle on U (∞) automatically extends to one on these unitary groups, so we may not conclude that the first cohomology spaces of the extended representations are non-vanishing. On the contrary, for the groups U (H) and U∞(H), all first cohomology spaces vanish. This is different for the groups Up(H) with 1 ≤ p < ∞, where only the identical representation on H and its dual representation have vanishing first cohomology spaces.