I always clean a new gun before going to the range. Do they all need it? No! But unless you are an expert you can not be sure. Some can go right to the range. Some have to much grease and some are too dry. Not a big deal to clean and lube it first plus you gain familiarity with your new gun.
I always took my guns home for a tear down and cleaning in the past. However, the last three handguns I purchased went straight from the counter to the range. Based on all the comments, I may rethink this on my next purchase.