No protection came on the screen, although i was kind of surprised to see a 393* serial number on a purchase a month back (Adorama - meanwhile, someone bought a week later and SN was 40-something, oh well).
If you're at < 1.03 (turn on camera holding the down menu button), I'd upgrade to at least 1.03, as there were some significant fixes in the earlier firmware updates:
Latest K-5 Firmware Update : Software Downloads : PENTAX
You can also check your firmware, manufacturing date and other info using 'exiftool' (OSX, *nix), 'photome' (Windows) and potentially others..