Should I charge a new Apple Watch SE before setup?

If the device is new out of the box, it might have been in storage for a while and you do not want the battery to run out in the middle of the setup. So yes, make sure both the watch and iPhone are charged before doing the setup.

Typically Apple Watch shipments from Apple in a brand new, factory sealed box arrive with enough charge to set up the Apple Watch first.

It cannot hurt to charge it first, but that may not be required.