Actually, touch-and-hold-to-move/delete apps is one of the few interactions that iOS specifically pops up a message to let you know about the first time it becomes available to you (after initial setup). It's an interaction that works well once you know it but isn't easily discoverable, so while a popup message explaining it is undesirable, it's probably a good/needed thing to have. But obviously those kinds of interactions must be kept to an absolute minimum - you don't get very many opportunities at all to go outside of the user's workflow and teach them something without becoming extremely annoying... most learning needs to be through intuition/discovery.
Anyway, to a large extent I agree with you - change is often OK and users, while complaining, will pick up on it.
I'm almost certain that it's been there since they added "wiggle mode" — which I think was pre-App Store: back then it was just so you could rearrange the built-in apps or web sites you had added to the Home screen.
Assuming it is still there, it wouldn't at all surprise me if a huge percentage of users would say they've never seen it, which is exactly what I was trying to say is the problem with such messages.
Fair enough. All I know is that I can't recall ever seeing it, and I've set up a couple of iPhones and an iPad. I'm not willing to wipe a device to confirm, though.
Anyway, to a large extent I agree with you - change is often OK and users, while complaining, will pick up on it.