IME, whether or not a new guitar needs a setup depends on many things. Did you buy it from a big box retailer? then yes... did you buy it on-line and have it shipped to you from a warehouse? then yes... has it been hanging in a store for 8 months without any attention? then yes... do you live in a climate where seasonal changes affect the wood in your guitar? then yes...
Did you buy it from a local shop where you know the people and they set the guitar up to your specs with your strings when you buy it? then no...
I buy from smaller retailers I know and trust, but I also live in Canada, where we go from extremely hot sweaty summers to extremely cold dry winters every year, so I'm accustomed to setting up my guitars to one degree or another a couple times a year... ymmv