Don't worry about asking questions, they're the only way to get answers without wading through a minefield of info!
The first service is little more than a check that nothing fell off the car. They don't change any fluids or filters. It's not like the old days, where a new motor would shed some of the excess metal from casting/machining and the oil had to be changed out after a small run-in. Now they just make sure it's still holding together and they send you on your way.
Brand new engines still need to be treated gently, so they ship the car with a rich fuel setting - this prevents the engine from getting too hot. Tolerances are still fairly tight inside the motor and a diesel won't loosen up for a good 10,000km - considering they can last several hundred thousand km that ought to be expected. This, combined with the tightness, will make the vehicle seem a little thirsty.
After your first REAL service (@ 10,000km) they SHOULD reset the fuel map to factory default. This will reduce your fuel consumption. I wouldn't reset it yourself just yet - let the engine settle as normal, get the first 10,000km out of the way and if they don't reset it for you, just take the battery negative lead off and press the foot brake for a second or two.
Other than that, there's little to do except enjoy the vehicle.