Hi. I have also just received one of these.
On my unit J02 was the default tip, as shown on the main screen, but I couldn't un-check it in the [Tip] menu. However once I changed the active tip to the one that was actually in the iron, i.e. not J02, I was able to remove J02 from the menu. So it looks like the firmware won't let you un-check the tip which is currently active.
Maybe this is also what you are seeing? Try changing the active tip to another value than J02 and try the [Tip] menu again.
Cheers,
Robert