Just purchased bike and chain skipped under load

Well, I would assume that since you just bought this bike and having problems, I can assume that it is a used bike.

In this case, what happens is that a cyslist rides a bike without ever checking the wear of their chain. Chains will last a finite amount of time based on environmental conditions and riding style.
Any who, They probably replaces a dirty chain that was stretched beyond where it should have been replaced (purchase a chain checker, cheap and a money saver). The old cassette or freewheel (gears on the rear wheel) will have become worn to fit the old chain. The old set of gears will take on a "shark fin" appearance. The new chain will not pull the gears forward but will ride up and out, skipping forward by one tooth.

If the the bike is new, the shop employee who assembled it did a poor job with it.

Either way, the fix should be simple. What I would do is take it to a local bike shop (lbs) and have them look it over.

Hint: If you show up with a six pack, instead of having your bike added to the end of the repair qeue, which is only fair, the possibly simple task might be able to be expedited. If it is a more envolved job, beer won't get you moved to the front of the line.....fair is fair.

A new chain, depending on # of gears, will be $12-$35.
A new cassette, depending on the same, $25-$45.
A new freewheel, $15-$25.
Labor rate in my shop:
$15 for chain install
additional $10 for cassette install.

If it's skipping it probably only needs adjustment either laterally or tension screw. Again log onto shimano.com and go to maintenance videos

Very likely that chain links not "fitting" cog teeth . if both chain and cogs are brand new, then skipping should never happen. more often than not, a repair would require both new chain and new rear cogs, and possible new fron t chain wheel. all depends which item are worn. I would probably get a new chain firstly, then see if this fixed the problem. nigel