Welcome to KTOG!
1. It will have some lube, but I would clean it before firing. This will also help you get to know your gun. Kel Tec in all probability will have test fired it before it left the factory. They don't bother to clean them. Some of these guns come dusty (cardboard fibers), as mine did. Some have referred to it as having looked like it was dragged through a hay field. They sometimes move around in the boxes during shipping and the cardboard gets chewed up.
2. I like CLP for cleaning. I try to minimize contact between the polymers and solvents. DuPont Multi-Use dry Teflon lubricant is good and doesn't attract dirt. I have used it on my SU-22. Eezox is good on metals for preventing rust. It has chlorinated solvents, so I avoid putting it on the polymer parts. Keep solvents off the magazines. They are polycarbonate and solvents can weaken them. Wipe them off with dry paper towels. Look at the range reports I posted on two new types of magazines that fit these and the PLR-22.
3. The bolt is two-part. Sometimes the screws loosen and the bolt will jam. When this happened to mine, I disassembled the bolt, thoroughly cleaned it with brake cleaner, reassembled it with Blue Loctite on the screws (not red, you might need to be able to disassemble it in the future) and have had no problems since. Sometimes the sights are screwy. I put a scope on mine. They are accurate enough to appreciate a scope. A Nikon Prostaff 4x32 works nicely.
4. Federal Bulk Pack in the maroon box has quite a following here. It is certainly good for breaking it in. The CCI should be fine. Try the Federal if not. Don't waste your money on the AutoMatch, it's no better than the bulk pack. Mine does well with CCI Blazer. Fiocchi SM340 Biathlon can turn in some stunning groups, but it also has a stunning price ca. $10.00/box of 50.
5. Shoot, clean, repeat. I like to go over new guns and smooth up a few things (and not just on Kel Tecs.) The rod that the recoil spring is around is often rough on the top and bottom. Some look like they were cut out with a jagged band saw. These grooves or marks run nearly parallel to the spring coils, and are rough and noisy when you rack it. A few minutes with some fine sandpaper 400, 600 then 800, in the direction of motion helps a lot. Don't change the shape or size of it, just knock off the rough edges. This isn't actually necessary, but it accelerates the break in and makes a good gun a nice gun.
have fun!
buzzsaw