The big dollar expense item on the first service is the changing of the trans/hydraulic fluid and hydraulic filters. That oil change alone can easily run over 200 dollars if you have 10 or 12 gallons of trans/hydraulic oil to replace. That really is a special oil and I like to use John Deere low viscosity HyGard for cold climates year around. There are other good ones, but they are all costly oils. The hydraulic filters are the more expensive ones as well. You may get by for a little less because the shuttle shift doesn't have the absolute requirement for a low particle count that the HST transmissions do. Remember that the transmission and hydraulics share a common sump.
I usually just look through the side of the fuel filter chamber and if I feel good about the fuel I've geen getting and don't see an obvious fuel/water demarkation or a lot of fuzz on the filter I leave it alone. Particles that settle in the chamber below the fuel filter don't affect it. It's good to do it at low hours like you are because it gets the initial wear particles out as well as any machining scraps left. You will probably see quite a few metal flakes in the first service. It's nothing to worry about. It's why you do a low hour change.
I always change the inner air filter and sometimes the outer as well - although often it is cleanable.
Grease the zerks. Engine oil and filter... and you are done. Don't forget to check the coolant, battery terminals, and maybe lightly hose out the radiator from the back to force out the chaff and dirt the fan pulls in. Careful with the fins.
My opinion: $250 is a little bit too low.....They are probably putting in a lesser quality trans/hydraulic oil & aftermarket filters. Nothing wrong with asking why it is less expensive, though. You can price the JD HyGard oil online & judge for yourself. It runs roughly 20 to $25 a gallon. Other good trans/hydraulic oils are in the same range. It will last another nearly 700 to 900 hrs though, ...so this is when you put the good stuff in.
On the other hand, a shop charging a thousand dollars for that 1st service is not just too high, it is rudely so.
I think there is a lot to be gained by doing the basic service yourself. Or being involved in some way. It doesn't have to be done all in a day. Spread it out. And keep a record of what was done and when.
good luck,
rScotty