I would think carefully about it. Whilst some might be better than others, in general dealerships are not renowned for their careful prep and there would be the risk of them sealing in swirls and scratches if the car is poorly prepped, as well as the risk of inflicting swirls during sealant application itself. Additionally the cost of dealer applied coating is often massively overpriced.
Skipping the dealer prep is a wise move IMO (if you care about such things). If you do decide to go that route, I would suggest you allow them to remove the transport wraps (and a 'no touch' jet wash at most) so they can PDI the car. Some people prefer to have them left on but there's a bigger risk that the dealership will say they couldn't properly PDI the car and probably leave little in the way of come back if there proves to be issues discovered once you've left the dealership.
If the wraps are off then unless the car is filthy, you should be able to make a good assessment and inspection of the car on collection, unless it's raining for instance. If the car is parked in some dark corner, have it moved somewhere you can see in good light. Take your time (within reason) in checking it over and take a small LED torch with you so you can check the paintwork condition for swirls and defects that won't show in normal daylight unless the sun is on the car. Take a checklist with you as it's easy to get caught up in the excitement of picking up a new car and forgetting to check key things.
Plenty on here have collected their cars unprepped and either taken them to a detailer or detailed them themselves (lots of advice on that in the detailing section). I collected mine with transport stickers removed but glue left on and totally unprepped (at my request) and although the car was a bit dirty, it did not hinder inspection and fortunately there were no defects. And whilst not the general norm, many dealerships are not unfamiliar with customers requesting a car to be unprepped.
Good luck with whatever you decide.
