Actually, everything mechanical should be run in. Some bearings will be too tight, and there are also going to be burrs and filings in there from the manufacturing process. (In spite of what car dealers tell you, cars should be broken in too. And brakes should be run in every time you replace them. On new cars, I change the oil after 500 miles of low RPM, slow running, then up my top speed a bit for the next 500, change the oil again, and then let 'er rip. Brakes are run in by driving carefully for a number of miles, and only applying the brakes lightly.)
If you really want to make your loco last, I would lightly lubricate it before running it at all, then run it in at moderate speeds for a while --- in each direction --- and then disassemble it, clean off all bearing surfaces (which means you'll be removing the filings and burrs that have accumulated in the oil) and then lightly lubricate it all over again with good, clean oil.
I don't usually with purchased locos, but when I build one, I substitute metal polishing paste (tooth paste will work) for the first lube. That does a nice job of polishing the bearings and axles, and making the tight ones loosen up. But you do want to get it all out of there after the break in run. Don't want to keep wearing away metal.....
May sound like a lot of work, but it's worth it.
Bill