The oil & grease used for shipping a firearm has to hold up for months, maybe years. Some manufacturers use some pretty heavy stuff. You do need to clean and lube a new gun before going to the range the first time, if not to clean it, at least to get familiar with the parts.
I clean after any range trip, because I don't know when I'll take that gun again.
Guy in the lane next to me a few weeks back had a new pistol, first time at a range. He was cussing and real angry. It was jamming, would not chamber the first round. He asked for help. Looked at the gun & box. Gun had been slathered in heavy packing grease. Dripping in it. Five minutes with a rag and rod/patches, and it would at least chamber and fire a round. His LGS also said "just go shoot it". They were wrong.