Should you clean brand new records?
In a word, yes!
All new pressings contain a susbtance known as stearic acid - a mould (mold) release chemical that is part of the raw vinyl formulation, designed to ensure your newly pressed, hot record separates cleanly (and by "clean" we mean with no physical defects) from the metal stamper. Removing this layer (it's not something you can see) should result in a noticeable improvement in macro detail, separation, and a more lively presentation, and of course limiting the effect of stylus wear on your expensive cartridge and needle.
At the very least, a basic clean using something like the Knosti or Spin Clean kits, in combination with the right fluids, should help in removing this.