That’s not a thing I do.
I’ve done two things that treat the opening episode as “special” in other ways:
I’ve run campaigns where the first episode had a combat situation available, but with safety rails of some sort—for example, an NPC who could step in and save the player characters if they got into trouble. That gives the players a chance to get familiar with combat mechanics, it gives them the measure of likely foes, and it tells that that the campaign features real dangers, but it doesn’t kill their characters in the first session.
When I ran Under the Shadow, I started out with the player characters scattered from the Shire to the borders of Mirkwood to Minas Morgul, and used the first session (it turned out to be the first two sessions) to bring them together as a resistance to Mordor’s victories. I told them that their characters would not die or gain disadvantages that would make them nonfunctional; that they would end up with exactly the traits on their character sheets; and that they would gain no experience. That style of play gave a certain sense of freedom and gave the players a chance to get into character before they gathered in a hidden community of the Dunedain (occupied by the women, children, old men, and disabled people who hadn’t ridden south to fight at Aragorn’s side).
Now, I do think it’s a good idea to give players unspent points that they can allocate to relevant traits as they get a feel for their characters and the campaign. In GURPS I generally go for 5 points.