Should I "bake" a pizza stone before the first use?
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.