Issue: I just received my KeepKey and  it wants me to download firmware. However I do not have my backup sentence. What do I do?

Feel free to update your device. Since you have not initialized it yet, you have absolutely nothing to lose or be worried about. Once it is updated, you will be able to proceed with initialization. With initialization you will be creating a wallet with unique private keys. You will receive the encrypted version of these keys via your recovery sentence. Keep your sentence safe!