Do investigators who start with blessing need to check for discard in their first turn?
From the Arkham Horror rulebook (page 6: Upkeep: Perform Upkeep Actions)


  Bless, Curse, Bank Loan, and Retainer cards do not require an upkeep roll during the first Upkeep Phase after an investigator acquires them.


Regardless of when and how you acquire the card (including during setup), you always have one Upkeep for which you do not roll to lose the card.