I perform my first oil change in all of my cars at 500 miles. Probably overkill, but for me:
1) Get the conventional oil out as quickly as possible and switch to synthetic
2) Remove any early/accidental debris present in the motor
3) Peace of mind
Like I said, probably overkill. Most modern vehicles will NEVER have an engine failure due to oil/lubricant issues. My dad had a Pontiac GrandAm with the 4 cyclinder (iron duke) motor and drove 125K miles on the original oil and filter. I wouldn't advise that, but dad worked for GM and basically said - "watch this". He made his point.