I’ll open it up if I find a guide somewhere and look around and compare.
There is a guide on the Ledger website:
https://support.ledger.com/hc/en-us/articles/4404382029329. I wouldn't be following any third party guides for something like this.
Honestly getting worried now. However has there been any tampered hardware wallets in the past?
Yes. See this thread for more details:
https://bitcointalk.org/index.php?topic=5344317.0Getting second thoughts and I might actually return this and just use my old Electrum/MEW cold storage solutions.
I prefer true cold storage over hardware wallets,
if you have the technical knowledge required to set up and use such cold storage properly. But most people don't, and it is much easier to make a mistake with a self created cold storage solution over a hardware wallet. Given that you've bought from an official reseller, if you follow the guide on the Ledger website to confirm authenticity before you use the device, then you are as safe as can be using a hardware wallet. I'm just pointing out that the things that you think are a mark of safety - such as a sealed box - are meaningless compared to the things which are actually a mark of safety - such as cryptographic signing.