If your guitar was in the box as opposed to being out on the showroom floor, there's also a chance that the strings were de-tensioned and just haven't fully stretched yet since being tuned up. You'll experience the same problem with tuning every time you put new strings on a guitar until they stretch out and settle down.
A setup certainly wouldn't hurt it (as long as the person doing it knows their stuff), but it may not be necessary if tuning is your only problem.
Tina explained setups pretty well. At the most basic level, they'll change your strings, set the intonation and action and tune it. It can go up from there - setting pickup heights, having new nuts cut/installed, fret work, etc., etc.
Mac
"I wish I could play that fast - then I would have the option of not doing that."
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