Just ordered a vpi avenger

Unless you are an expert in setting up a table, I think it makes sense for them to set it up. I also think that the appropriate time to negotiate their services would be before you gave them the $10K. VPI Avenger is probably a good choice, just be sure to select a cartridge that is worthy of that investment.

Tough to say what distance between you and the dealer begins to qualify for an extra set-up charge.  If you feel the need for the presence of an experienced person during set-up, you should go ahead and ask for that extra.  If they suggest a reasonable extra charge, I would pay it.  If they don't, I would still tip the set-up person who arrives at your house, after the work is done to your satisfaction.

Right. It can take hours, sometimes more than two, to set up a turntable for the first time. Doing this can void your ability to be helplessly dependent on sales and service. Don't fall prey to charlatans trying to sell you on the simplicity of turning a screw. Only with highly specialized training and years of experience can one operate a level. Besides, even if you do it yourself well then you will know its done right, but without the priceless joy of trusting in a professional paid money to do something you don't understand even in the slightest. Its simply not worth it.

As a new owner, I'd want to be involved in set-up

If they didn't agree to bring it to your place and set it up before the sale, they probably aren't going to.  I would ask about you going to them and observing the setup as a first step in learning how to do it yourself.