Do I have to update the firmware of a newly purchased VKB Joystick?

No.

VKB typically installs the very latest stable firmware available at the factory before shipping their products to customers; there is no need to mess with firmware updates out-of-the-box.

Firmware updates are usually only required when, for example, you install a new grip for your Gunfighter or Gladiator Pro that you’ve bought at a later date, or when there is a new and improved firmware version available for your current Joystick.

That said, the only thing you need to do after unboxing your new VKB Joystick is to calibrate it.

Refer to these useful references:

Note: In case of the Gunfighter, you’d also need to loosen the factory-tightened dampers to have the stick return to center freely. Refer to the Gunfighter Quick Guide for details.