Most likely your mechanical disc brake pads are touching the rotor (not correctly aligned, or pads too much inwards, or both).
You can visually check this first, to confirm that is your problem.
If you don't know where exactly to look, or if you're not familiar with how mechanical disc brakes work in general, and things to look for when setting up, check also this video:
This is going to give you good general info about your brakes.
But anyways, after installing any new bike, yes, you should:
1) Align the brake calipers (see the Rad Rover bikes instruction video)
2) Brake in the pads: to prolong the longevity of the pads and avoid squeeking sounds when braking due to uneven contact between disc pads and rotor. Make sure you do this in dry weather, not in heavy rain.
You start riding and speed up until 25 km/h (15 miles/hour). Then you smoothly/gradually (not abrupt) but firmly brake until you reach walking speed (not to a stand still). Repeat this 10-20 times.
What happens is: The new disc pad has a specific top layer, which needs to be evenly brought onto the disc rotor. This creates an optimal surface contact between the disc pad and surface from the disc rotor.
This procedure should be done every time you change disc pads. Make sure to fully clean and degrease your disc rotors with isopropyl alcohol beforehand.
