I got one that came dull also (I believe it was an iGaging wheel marking gauge.) In fact I would call it beyond dull, the edge had a flat on it at least 1/64" or more. I did end up sharpening it and it worked a LOT better, much cleaner line, etc. I since received a Veritas one as a gift and they come sharp. I don't think they have to be extremely sharp, they are probably a lot duller than a lot of my chisels and planes and sharpened way less often, but some kind of edge on them will help a lot.
I think once you get them sharp, to resharpen later you just need to put the wheel flat-side down on a fine stone and rub it in circles for a while. My first one was so out of whack I think I had to make a jig to spin it in a drill and stone the bevel until the flat went away.