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I took mine home from the dealer with new pipes...
Good point...most dealers will change pipes prior to delivery, so IMO I don't think it matters. Hell, when I bought my Train I had to special order my Martins pipes, so I rammed a thick steel rod down through the baffles on the stocks. I ran that way for 2 weeks!
It does not matter when you put pipes on and just pipes. But it would matter if you replaced the Air filter for a high flow and pipes together. That being said I would break in the bike first and then replace Air filter and pipes and a fuel management system so as not to run the bike to lean. This is a good idea incase you did have an engine problem right off the bat (which is usually when something lets lose) and the bike was under warranty the dealer could not decline it.
I swapped mine before my 1st service since I got a remap recall and wouldn't have to pay for the tune and haven't seen any issues. Buddy of mine did exact opposite wouldn't take delivery of bike till backordered pipes came in and also no diff.