One of the bennies of pumps is that they will cycle with any load because you do the work. they are not picky like most semiautos.
Standard advice for breaking in a new pump is buy the cheapest name brand bird shot you can find, at least 100 rounds, and have at it. The gun will be a little stiff because it is new and the shooter needs to get used to the functions and develop the skill to cycle the action reliably and smoothly. More bang and more kick is not necessary at this stage.
If your range is picky (I`m used to NW AZ and private farms where there are no limits) call them first. They may even sell their pet brand.
Have fun with your new weapon. Read the instructions and clean it first. Mossbergs are reliable, but it seems sometimes the factory rust prevention grease is worse than regular grease and crud.