Since the heads that shipped with it are standard Remo heads (no Pearl logos), there's really no danger in tuning it up and trying it out with the stock heads. Because if for some reason you decided to return it, you can just replace the head with another coated Ambassador and it's back to 100% new.
Given that, I'd personally want to put it through its paces with the stock heads before swapping them out. That way you get a great sense of how the artisans at Pearl intended it to sound, and it may even influence what head(s) you ultimate put on it.
But that's just me.