They probably just want to make sure that nothing else is wrong with the amp. If you just swap the tube and fuse, it will most likely take care of the problem, but if it self-destructs (very un-likely), then Mesa is liable for a new amp. They don't want that. Reliabillity, cover their asses, same thing.
If you order the JJ's through Eurotubes, Bob tests each one. I order them in bulk and there are a few that I have to throw away, but mostly 12AX7's.
It's frowned upon by Mesa, but I used JJ's in my Rectoverb & Mark IV and saved the Mesa tubes just incase I needed any warranty work. Much better tone can be found with other brands of tubes.
Many amps seem to be shipped from their respective factories with the tubes installed. This is one of the the reasons that there are so many new tube failures.
The other is simply Murphy's Law. I have delivered almost 15 of my amplifiers to extremely happy customers in the last 3 years. Of those 15 amps, 6 of them had premature Power Tube failure (several different brands). Most faulty Power Tubes will fail within a 2 month period after you start using them. If they don't suffer from Infant Mortality, they will last quite a while, depending on how they are used.
The other guys are right, you should always have spare tubes and fuses with you when gigging. I have a DC-2 & DC-3 that I can use as backups. They are tiny and look cool on stage. "Plan B" is the only way to fly when playing out.