In VA at least it's illegal to use a vehicle with dealer tags to tow anything. I don't know if that's the case in other states. Also, as mentioned, it would violate the break-in provision for a new vehicle. I doubt the dealer's insurance wants to cover your expensive trailer while it's being towed either.
If I were a dealer I wouldn't allow it. I would have never even thought to ask. How about "Can I haul a load of gravel with this truck for a test?" "Can I go mud bogging up a mountian to try out the 4wd for the weekend?" I wouldn't allow that either.