New chains are less flexible than older ones. They also have sharp edges on plates, and may be a bit stiff because of dried lube.

When you shift the rear it sends a wave don the chain similar to what you do when you try to flip a rope or garden hose over something snagging it. So combine the wave with the added stiffness and it can flip the chain to the tops of the teeth, and then over the side. The worn tooth profile on the ring can also contribute because there's some pitch error (what causing skipping on rear sprockets) so the chain is more likely to climb out.

Odds are the problem will disappear with some break in, and I'd give that a chance, maybe trying some better chain lube.

If it doesn't break in, you can use a file on the outer (toward the large ring) bevel of the teeth to move the point inboard more. Unless you're familiar with how bevel affects chain pickup and how to modify to advantge, I'd save this option for a last resort, and get more details about how it's done if/when it becomes necessary.