The first service is important for a lot of reasons. It allows the dealer to check the machine out and make sure that things aren't about to fall off. I've prepped new bikes before and while everyone is pretty diligent, things do get missed.
The valve-clearance on the Ninja 250 is really important. Not sure if they've corrected it on the current one, but the earlier models would dish the valves if they weren't adjusted periodically. The valve lash tends to get tighter with time and it stresses the valves. That can cause some big motor problems and the dealer doesn't want to have to deal with that under warranty.
Lastly, it allows the dealer to make a few bucks on the machine that they sold you. You can do and document the service yourself, but it's not something that you want to do if you haven't done it before.