I know it sounds silly. There it sits, spotless, glistening with oil, calling out to be shot that first time. In reality, that "oil" is more of a rust preventative than a lubricant. The metal can gall from lack of lubrication, even though it's swimming in factory oil. I know, I've had it happen.
Also, there can be machining debris still in the gun from manufacture. Cleaning it gets out these bits and pieces that can cause premature wear and malfunctions.
Most importantly, firing a gun with oil in the barrel can cause damage to the barrel, or even a barrel explosion! If you store your gun with oil in the barrel, run a dry patch down it before you shoot.
Cleaning the new gun also lets you get to know it. How to take it apart and put it together. How it works. It also lets you check for any mechanical problems such as a broken or defective part.
This is just as important for a used gun also. We can't be sure of the care it received before we got it, but we can strip it, clean, inspect and lubricate it before shooting.
Mike
We have enough youth. We need a fountain of SMART!