iPhone XR: Face ID is not available, Try setting up Face ID later

See especially step 7 here.

If Face ID isn't working on your iPhone or iPad Pro - Apple Support

If all else fails, exchange the iPhone.

So you went through the "Set Up Face ID" again (and again) ....

You rotated your head as shown, held the iPhone 10-20 inches from your face as directed, and still failed.

Then yes, since you state the iPhone is brand new (perhaps a day or so old), take it back to the Authorized Apple Retailer where you got it and they should exchange it for you.

First of all:

coopstar23 wrote:

Should I try the iOS 12.4 beta?

You should never, under any circumstances, consider using beta software to solve an issue you're having. There are no exceptions.

When you see "Move your phone (lower/higher), how do you respond? What response do you receive?