Is it worthwhile putting a clay bar over a brand new car? Before polish and wax ...
It depends.
I would say use iron remover and tar remover first and then assess it. To assess, get a plastic sandwich bag, wear it like a glove and run your palm flat over the panels, especially on the lower ones. This will emphasise any remaining embedded contaminants left on the paintwork. If it feels glassy smooth then claying probably not required, if it still feels bumpy, then clay.
If you do clay it, I would definitely follow it up with a polish. However good your technique, claying can lead to marring and it's always best to follow with a polish to get rid of any marks inflicted by the clay mitt/bar/cloth. When I first did mine, after the Iron X and Tardis stages, it was clear of contaminants and didn't need claying, or polishing (no point in removing clear coat for no good reason), so it got washed, then sealed and waxed.