Do I have to go to an Apple store to unlock my phone when I did not set up a passcode

If it is brand new (not second hand) and you bought it via Apple official channels, yes, visit an Apple Store or authorized Service Provider and have it inspected.

Regards

Giulio

No, you don’t have to go to the Apple Retail Store.

If you forgot the passcode on your iPhone, or your iPhone is disabled

https://support.apple.com/en-us/HT204306