Hi Mark,
Maybe you'd want to take a look at it yourself.
A lot of people find it difficult to light the oven pilot light. After it lights, you do have to keep the knob depressed until the flame heats up the thermocouple next to the pilot. On most gas appliances, that could take 5-20 seconds. If the thermocouple is not engulfed by the pilot flame, the position may need to be adjusted slightly. Or the flow of gas to the pilot may need to be adjusted. Some ovens have a pilot flame adjustment setscrew on top, under the rangetop, behind the oven knob.
Depending on which manufacturer's oven you have, it's possible their warranty might not cover minor adjustments. For example, Suburban warrants their ovens for 2 years, but excludes minor adjustments to the pilot.
But I would say that if this is the first time you've tried to use the oven, and it doesn't work, that would suggest the dealer didn't verify its operation before delivery. In that case I would think they might be willing to make minor adjustments.
You could also call Heartland Customer Service at 877-262-8032 / 574-262-8030. Have your VIN # ready. They might be able to help you.