Interesting. We learn something new every day. I thought Apple had to plug some special dongle or (something) into the iPad to enable the diagnostics. Guess not.
As the CU support persons says, you should not be seeing that screen. I suggest you insist on a replacement. Even if you manage to get out of that mode the fact that it shipped this way may indicate underlying problems, or not. But why take chances?
If CU doesn't want to deal with you, or they are too slow, your Apple warrantee is still good. You can always go through Apple for help. Matter of fact, you have 90 days of free Apple Tech Support. Somewhere in your box there should be a small card with support numbers on it.