Been building PCs since 1999, and the only time a PSU has ever fried anything on first boot was due to fault of my own (wrong voltage switched on PSU, was supposed to be 110v but somehow it was switched to 220v. Started smoking but somehow only the motherboard died.)
I'd say that unless you're using a really poor quality PSU (which you shouldn't) then just power it on as normal. Also make sure the right voltage is set. But I don't think modern PSUs even have those switches anymore.