While it's certainly possible for parts to be damaged during shipping, given the way that Hot Toys packs their figures, I wouldn't really worry about it. Plus, Hot Toys, Sideshow, and many other retailers have pretty good customer service, so even if you do find that it was damaged during shipping, they'll send you a replacement.
For example I noticed a paint defect on my Bones figure's hand and notified them about it even though it had been a month since I received it and they're sending me a replacement hand at no charge.