How to season the new pizza stone

Actually I do this, and I do it because my oven is old and tempermental.

Adding a heavy heat-sink (like a pizza stone, or a half dozen fire bricks) to your oven will increase your pre-heat time, but it makes your ovens temperature much more stable. It's a good thing to do if you're planning on cooking anything that is really temperature sensitive.

Generally that sort of treatment is to get rid of any moisture the stone may have taken on during storage/handling--if it weren't kept dry, there could be moisture deep in the stone that would not be an issue in normal home use. I would expect the instructions were also that you should put the stone in the cold oven then turn it on--that would be the safest way to do the whole process, avoiding thermal shock, etc.

There might be some proprietary reason to do this also, but my vote goes to driving out deeply absorbed moisture.