...It would be strange, if they didn't notice the chain tension...
The dealership bike-preparer (not mechanic) sees 100 sport bikes and dirt bikes for every KLR he sees. The KLR is not a dirt bike with huge suspension travel and doesn't look like one to the bike-preparer, either. He doesn't set it up like a dirt bike. It looks more like a road bike so it often gets set up with the slack that would be right for a sport bike. It needs a hell of a lot more than a sport bike needs, though, but that's the way it gets rolled onto the floor.
Out on the floor is a salesperson who really doesn't know shit from Shinola about how a bike should be set up.
The slack needs to be such that the chain will just touch the swingarm at a point near the screw (the white dot in your picture) that holds the chain guide to the swingarm.
It's important. Check on it, insist it be set right if it is not right. If it is not right, never mind what the salesperson might say, tell them to read the manual.
It's not a new bike; if it were I'd be concerned about the remainder of the bike being properly set up. Give it a good once-over before you take it. Check the oil level, tire pressures, missing fasteners, brake pad condition, speedo drive positioning, etc. Anything that doesn't look kosher, question it.
I don't mean to be an alarmist, but you'll be riding a bike you are unfamiliar with 170 miles just to get it home. It'd be nice if you made it without any drama.