Ledger sends their hardware wallets with already installed firmware, and very often it's the latest version. So, you don't need the app to install the firmware.
This doesn't apply to older devices that have been discontinued, but which can still be found on sale or have users. For example, Nano S. In their case, a firmware update may be mandatory.
Keep in mind, those older devices use closed source firmware too, so you have no way of knowing if your device has a backdoor giving Ledger - or whoever - access to your seed: