Yes. Change the filter at the first oil change. During break-in, small "filings" of metal get worn off and are now in the filter.
Oh, and you are going to be surprised at how thin the oil is. I did my first oil change at 4 hours and I am glad I did after seeing just how thin it was. Don't think there was any lubrication left in it.
I would also recomend using synthetic oil. Lubricates better, last longer, you can go 2-3 times longer on an oil change.
Most recommend waiting until the 50 hour mark before using synthetic oil, especially for Kohlers. The dino oil allows the valves to seat properly. Use the grade of oil recommended in your manual and always change the oil filter when you change your oil.
I think from what I have read, you can safely use full synthetic oil from the start. "seating" is just the valves actually wearing down some from friction (what I have read mind you). I am approaching my first change in my new JD X500 and will be going with Amsoil in it.