It doesn't hurt to leave a few fruit on a strong-starting, newly planted tree, but understand the fruit is not likely to attain best quality. Many growers pull off first year fruit (and sometimes second and third year) to allow all energy to go to the development of tree size and structure. This is especially important for weaker-rooted trees (e.g. trees on very dwarfing rootstocks) that are slower to establish, slower to reach the tree size capable of yielding a significant crop.
For information about first year tree care, see Backyard Orchard Culture.