When I bought my reg/octo/spg from LP, I had negociated getting the whole thing setup by them. Then when officially placing the order, I didn't mention it (I thought it was settled), they shipped it all separate. Which ended up fine, since I learned how to set it up myself. To my knowledge (at least with the brand I bought), the reg/octo/spg should be packaged "ready for instalation" and not "need" adjustment. Mine didn't need adjustment at all; it worked fine out of the box. This said, double checking/ tweeking by a competent dive shop is surely not a bad thing to do, but it isn't absolutely necessary (some will surely disagree with this). But in my oppinion, what is absolutely necessary is after you install the hoses, go test your setup in a shallow pool dive! Spend an hour just testing everything and checking for leaks. If all is OK, go diving. But I would still keep an eye on it for the few first deeper dives and stay near my buddy.
Just my 0.02$