Many university and corporate wi-fi networks use MAC address filtering. The Playdate's MAC can be seen by going to Settings > System > Device Info. However, there's no way to get to this screen until after you've already connected to a wi-fi network.
This isn't an issue that affects me, but a quick search here and in the Playdate Squad Discord shows quite a few people reporting it, so I wanted to get it tracked somewhere. People are excited about their Playdates, and want to get started as soon as possible!
Indeed I was one of those. In my case I could temporarily turn off MAC filtering on my home network to update, the PD MAC, add it to my access list then reset my router, but not everyone can/will be able to do that. The only alternative would be to go visit someplace like Starbucks
Since the Menu button does work before first update I don't see why it couldn't be programmed to simply show Settings, as it does after first update.