As far as I know US law (like Aust law) states that it's not mandatory, as long as you can prove it was done competantly. Having said that if you don't have a surplus of dealers in your area it can pay to be in their good books, at least for the duration of your warranty.
Dont' forget that the first service is more than an oil change - it's a chance for the dealer to check the entire bike over and make sure nothing's come loose or is wearing inordinatly.
Matt
