After the First World War, returned soldiers sought the comradeship they felt in those quiet, peaceful moments before dawn. With symbolic links to the dawn landing at Gallipoli, a dawn stand-to or dawn ceremony became a common form of Anzac Day remembrance during the 1920s.
The first official dawn service was held at the Sydney Cenotaph in 1927. Dawn services were originally very simple and followed the operational ritual; in many cases they were restricted to veterans only. The daytime ceremony was for families and other well-wishers and the dawn service was for returned soldiers to remember and reflect among the comrades with whom they shared a special bond.

Actually, the Dawn Service originated in Albany.
http://www.anzacday.org.au/education/tff/dawn.html
Sydney might have held their first one in 1927 … but they were done elsewhere in previous years.