Fiction. Even if the engine is already broken in (as it is with most diesels), the REST of the drivetrain still needs gentle handling for a few hundred miles. Gears need time to properly polish the contact faces so they work against each other as smoothly as possible. Friction surfaces need time to bed-in properly. New owners need time to acclimate themselves to the new vehicle, especially if it's an entirely new vehicle, not just a model-year upgrade on the same model.

A 500-mile oil change will remove any excess assembly lube and "break in" shavings in a new engine. And it certainly can't HURT.

-blaine