The issue of preparing new skis is complex. When they leave the factory, skis are cold-waxed to protect the base during transport.
So yes, there is a layer of wax on a new pair of skis. This means that it is possible to go skiing right out of the shop.
But, as is often the case, when you want your equipment to last, it's a bit more complicated than that. Experienced skiers know this: a cold liquid wax does not nourish the sole as a layer of hot wax would. In addition, during transport, the ski may have come into contact with dust or small elements that have come to rest on the sole.
This is why taking the time to remove the wax from your skis and heat waxing them again can be a good idea to take care of the base and hopefully make it last.