How does my brand new iPhone have steps activity recorded on it (in the Health app) from a month ago?
This sound like a case of a product return - a customer who purchased it and returned it.
Now, you state that you purchased it as “Brand New” so Apple, of all entities, shouldn’t be repackaging returned items and selling them as new.   Actually, they can.
Specifically, from that post, there’s an FTC opinion giving guidance on usage of the term “New Product.”   Basically, they can take a previously opened product that may have even been turned on but  generally unused and in new condition, repackage it as new so long as there is a conspicuous process behind how they do this.
It’s entirely possible someone bought this iPhone, tried it out (maybe for this specific feature) didn’t like it and returned it. Apple did a simple factory reset not realizing there was data stored, and repackaged it as new.  Obviously, one got though the process that shouldn’t.   Is it a major problem and fraud on Apple’s part?  No. The process must be conspicuous, not perfect.
Simply contact Apple, tell them that it appears the product is used when it should be be new and you want a replacement.  They’ll accommodates you.