Should I update firmware as soon as I receive my ATN X-Sight 4K Pro Smart 5-20 ?

As I have found with all the digital scopes I have had, always use it first and run through all the features. If it is working to your satisfaction, leave it alone. Only upgrade if you are having a problem that is defined that the upgrade will fix, or they have added more features that you may want to use.

I have been an embedded systems engineer and I can say that there are many things I would have done differently than most of the designers of these scopes and I have had multiple vendor products.