Should rotors have no rub at all?
Some rub is OK. No rub is optimal. Normal riding can bend the rotors, so the "no rub" situation never lasts forever. This can be fixed though.

You can adjust the caliper to reduce rub (or completelly eliminate it). The bolt holes are not very tight so you can play around with offseting the caliper accordingly. Just unscrew the 2 allen bolts a bit and start playing around with offsets. Looking through the brake pads and disk to a bright coloured floor (e.g white) makes this process very easy.

If the space of the pads is not enough to allow zero rub then you can try to straighten the disk. Use a clean rug/paper towler to grab it and give it slight push or pull on the spot it's bent. Never touch the rotor with your hand because the hand has a bit of oil which can reduce the performance of your brake.

The fact that your brake is new doesn't mean that it should be 100% rub free. There is a small possibility that the hub 6 bolt platform is slightly off. So a new disk will always look bent when rotating between the pads.