If you have no ground in any box, you'll have to gfi them all, not just the first in line.
If you had an EGC between the boxes it would be OK in the way you described.
Both ways you need to mark them all with that little sticker that only sometimes comes with the GFI's now that says, "No Equipment Ground / GFI Protected"
The scmuck you cut off the grounds, probhably thought he was doing everyone a favor by not letting anyone think there was one when he hooked this up to a K&T feed.
