Yeah, you really should. It's not a scam, it's to flush out the carbon dust.
The filters get washed during manufacturing to keep them from drying out, so a new filter will be wet and have loose carbon particles inside. The first three pitchers will flush that out. Just filter the water normally and pour it out—use it on your plants if you don't want to waste it.
If you skip this step, you'll see black specks and the water might taste a bit off. It's harmless, but it doesn't taste great.
One more tip: after those first three pitchers, for the best-tasting water, pour tap water onto the side of the reservoir, not straight down onto the filter. It helps the water contact the filter media more evenly.