I would do start-up first and ensure the system is stable, before swapping the air cooler out for the liquid cooling system. It's easier knowing the system is fully stable in it's factory state, than trying to figure out afterwards why it's unstable. Just keep an eye on the temperatures and don't stress the system to much with benchmarks, and you should be fine. A few hours of running should be all that is needed to deem it stable and fully working.  
I'll be getting my "Early Black Friday" Aurora R12 in a couple of weeks. It's the i7-11700, RTX3070, 1000 watt power supply and has a non-upgradable air cooling system. I've already purchase the OEM liquid cooler from Dell. Should I switch out the cooling system before startup (plug-n-play) or should I perform the startup get everything going and then make the switch?Thanks in advance for the insight.
Aurora R12, is the Dell OEM Liquid cooling system plug-n-play?