Sometimes with new saws paint chips can come loose and block the oil orifice. Take off the 2 nuts holding the bar and side cover.Remove the bar and chain and look carefully at the small holes in the bar just above the main slot. Make sure they are clean without any blockage. Look at the side of the saw where the oil comes out and goes into the bar. Make sure everything is not blocked and put it back together. Make sure the bar fits tightly against the side of the saw and the side cover fits tightly against the bar.
Make sure the cutting edge of the chain is facing forward on the top of the bar, I've seen people put the chain on backwards. When adjusting the chain, get it tight enough to not sag, but still spin freely. If you can't slide the chain, it's too tight. Make sure you have 2-cycle mix gas in the fuel tank and bar lube in the oil tank.
Hopefully I'm not being too simple, just trying to cover ALL the basics. If it's still not oiling after that, you might want to have the dealer look at it.