Should my set come sealed in plastic?
LEGO sets ship in sturdy cardboard boxes. The LEGO bricks inside the box are sealed in plastic bags (though some larger pieces come loose in the box) and for larger sets the instruction manual and sticker sheet are also sealed in a plastic bag.

The LEGO box itself is not covered in plastic. LEGO uses “seals” to prevent tampering - these are basically just pieces of adhesive tape with some printing on it - a black bar plus on at least one of the pieces of tape is a production code.

Some smaller sets come with push-tabs instead of tape seals ... this forces you to destroy the box to get at the set inside. These boxes will have the production code embossed or printed on the underside of the box.

There are collectors who plastic-wrap their sets upon receipt to keep them mint, but this is not a common practice. You can also engage a grading service to get sets graded, but the market for sealed graded sets is very small.

Note that no matter how good the seals look on a set (even push-tabs), there are entrepreneurial individuals who manage to open and reseal boxes to take out the most valuable contents without you as a buyer knowing. Be aware.