Cigars are, by nature, delicate objects. It's one of the reasons most premium cigars are wrapped in cellophane; it protects the wrapper leaf and helps maintain moisture during shipping. If you're like most cigar smokers and order cigars online, the question is: Will the cigars be fresh when they arrive? They should be, since cigars can survive almost a month in their boxes or bundles under normal conditions.
The other question is, should you smoke one of your newly-arrived cigars right away? Sure, but it might be better to give your new arrivals a chance to "settle." Most cigars are, indeed, ready to smoke right out of their factory packaging. But whether you bought them online or at a local cigar store, handmade cigars tend to taste and burn better after at least a few days in your home cigar humidor.
Honestly, I've never really understood why cigars seem to taste better after a little nap time in the humi. Maybe it's just psychological, but they do, and many cigar smokers agree. That said, it's the "burn better" aspect, whereby, letting your cigars rest may have a more noticeable effect. It might be that some extra moisture accrued in the cigars during shipping. If that's so, the cigars may burn irregularly. Giving them a chance to "breathe" in a space where they're not so tightly packed appears to help. Moreover, the cedar in your humidor absorbs some of that extra moisture.
So, the next time you open a fresh box of cigars, give 'em a break. They've traveled a long way to get to you, and a little rest before lighting-up will do both of you some good. ;-)