I would guess that would depend on a lot of things. Like if you bought the guitar from a shop, or through an online site. Most shop-purchased axes will have a pretty good set-up on them. Depending on the skill and knowledge of the staff, it could be
the perfect set-up for that particular type of guitar. Maybe the tech is a Tele player himself, and knows the best way to set one up. This is purely luck of the draw, mind you. My new G & L came with a really good set-up right out of the box, though it was purchased from an actual music store (also an Ebay store), where it was set-up and played before it went into stock (as evidenced by the little initialed tag attached to one of the tuning pegs). All I've done to it since receiving it was change the strings. Overall, I'm pretty happy with that set-up.
My experience with mail order stuff is that it will
always need to be set up after getting it. Changes in temp (imagine shipping stuff in the dead of winter to Fargo - yeah, you get the picture), humitidy, stresses from shipping, etc., all take their toll. Often times, I like to let my new axes "acclimate" to their new surroundings, so as to make sure the new set up will "take". In some cases where the factory set-up was horrifyingly bad, like with my Squier Tele II, there was little choice except to bring it in.
I guess I've always been very lucky to have an ace set-up man at my disposal. The guy I use now has set up so many of my guitars, so many different times (p'up changes, etc.), its almost like he has a sense of how I like things, no matter what axe I bring in. He's a very good player, too, so occasionally he'll throw me something outside of what I normally do set-up wise, and see if I like it (of course letting me know that he did it.) If it doesn't suit me, he sets it up like it was, and away I go. Personally, I couldn't set up a guitar to save my own life. And yes, I have tried, with disasterous results.
Bottom line: it's pretty much personal preference. Particular players like things a certain way, and for them, the set-up is key. Hacks like me just like to make noise, and as long as it stays in good tune, I can manage with just about anything set-up wise. If I can hang laundry on it, however, it's probably a bit too high! Ha ha ha!
