Yes, do get the bike checked over. I have seen a few dangerous mart bikes. The worst was a little girl with loose handlebars and a loose seat. If you can, test ride the bike. Check that the brakes work, the seat and handlebars are tight and there is enough air in the tires. The shifters on the handlebars are great when they work. There's a chance that yours won't as the assembler may not be bicycle knowledgeable.
Your safety, and the end cost of the bike after having a brand new bike fixed are two of the reasons experienced bike owners say go to a bike shop. Not the only reasons, but two big ones.
Your bike might be assembled correctly, but don't count on it.