Congrats on your new FX9 and your first gun!
I can't speak for anyone else, but my own personal experience...
1. Definitely lube it. Mine came bone dry. Good news is the gun is very easy to take apart so I'd suggest you do so and grease it up well.
2. My charging handle out of the box, was really grainy/gritty feeling - with use, that seemed to have gone away
3. Ammo - there should be an insert that tells you to stat with 115gr and NO aluminum. I contacted FO about any prospective "break in" period. They said there is none defined but they just recommend the use of 115gr for a while. So that's what I did - maybe 200 rounds.
4. My initial ammo was CCI Blazer Brass, 115gr. After 200 rounds I switched to Federal Syntech 147gr. No issues.
5. Gun has functioned great with the exception of two (2) things: 1. last round bolt hold open is hit and miss and seems to work better on non OEM Glock G5 mags (so Magpul GL9s, etc.) 2. Bolt catch/lock/release seems to go off by itself for no reason, even at times with no movement.