Wouldn't the player come with the newest version out there?

It does. It comes with the newest finalized stable non-beta version, which is 1.03.

At the moment, 2.0 is still in beta and is not necessarily stable. I would recommend that you use 1.03 for a while until you've got all your music loaded and fully organized. When you feel you're ready to walk on the Wild Side, you're welcome to give one of the 2.0 betas a shot.