Straight from a major well-established hatchery, no I don’t worry about them bringing in something new. You’re dealing with living animals so I guess anything is possible, but the hatcheries are really big on biosecurity. The adult chickens don’t come close to the hatching end of the business. If diseases were anywhere common, they’d be out of business.
I keep my brooder in the coop. One reason is to expose the chicks to anything the adults have so they can start working on flock immunities and get the probiotics the adults have. They can develop immunities to things like Cocci much easier when they are young rather than when older. I go so far as to take some dirt from the run and give that to them on the second or third day they are in that brooder to make sure they get exposed.
I think they are healthier by exposing them young instead of raising them in a sterile bubble. They are going to be exposed to anything that is there any way when they hit the ground or join the flock. I think they stand a much better chance if they have had a chance to prepare.