No, not at all if it is pre-sharpened. Typically they pre-sharpen and balance them so that homeowners can just buy them, take them home and install them. The paint will come off soon enough.
I usually sharpen and balance my blades if I've got time (the local shop will do it for a few bucks) but I always test them for balance before installing, even the new ones. Occasionally I've had to touch them up a bit to get them balanced. An out-of-balance blade will cause the mower to wobble and shake a bit. That's not so good for the mower.
But my experience is that most of the time the blades I'd get at the store were pretty sharp and only occasionally have needed to be balanced. This might vary based on the blade manufacturer.
Aside: There is considerable discussion online and at least as many opinions as there folks talking about it as to whether a razor-sharp blade is what you want. For what it's worth, my opinion is that a razor sharp blade is likely to dull quickly enough anyhow and isn't likely worth the effort. The factory edge is usually at a greater bevel angle and I try to mirror that at home when I sharpen mine. If I were using a scythe (and this is on my wishlist), I'd be looking for a thin, sharp edge, sharpening it during use with a whetstone and peening it when needed to keep that edge in tip-top shape. But with a mower, most folks slap the blade(s) on the mower and go about cutting their lawns and don't bother sharpening the blades all season long and certainly not as a matter of routine.