How can I change a case-sensitive to case-insensitive volume on a new iMac? I can't install photoshop on this computer and I just bought it!

That's interesting as it normally isn't. Here is a screenshot of mine in Disk Utility and it shows the usual format which is not case sensitive:

First, check in Disk Utility (Applications > Utilities > Disk Utility). If it is case sensitive, then use recovery to boot into Apple's servers (since you need to be booted from something other than the boot disk in order to erase it).

Here are the various ways of using recovery:

https://support.apple.com/en-us/HT204904

So, use recovery, then use that Disk Utility to reformat and erase the disk. When finished, reinstall Mac OS.

Well, I checked the system requirements and it states that it cannot be installed on a case sensitive file system.

Adobe Premiere Pro System Requirements

Mac OS is usually NOT case sensitive - you'd need to check in Disk Utility to see what yours is. If you do need to change that, you'd need to use recovery to use Disk Utility to change it which means you need to erase your disk and then reformat and reinstall the OS.