Is the lens fully seated and locked in the mount? Is the battery fully charged? If so: This is the first time I have heard of this problem with any new Nikon DSLR. I would recommend returning it to the retailer and exchanging it for another body.
I have solved it, it turned out that the Japanese warning was for a non-compatible sd card, surprising since it was a good quality one. I powered up the camera without the sd card in and was able to navigate to the language selection menu and selected English and when i powered up with the sd card in the 3 line warning was now in English. I'm surprised that Nikon ships cameras with Japanese language as the default.
Patriot makes decent quality memory, but their SD cards contain controllers which are not consistently reliable. Best advice, I think, is to stick with UHS-1 class SD cards from SanDisk, Lexar, Transcend or Integral which are brands that are widely used in Nikon cameras.
> Anyone else >had default Japanese language in a new D5200?
Yes, but only in a Nikon body originally shipped for sale in Japan. It's also possible that someone in the store got into that particular camera box and fiddled with the language setting (though it's hard to say why when there's always a display unit available).
Glad to hear you got it figured out. Please let list the brand and specs of the non-compatible SD card. You also might want to confirm that your camera is not "Gray Market" unless you knew it before purchasing it.