Can confirm now. Pristine ATmega32u2 MCUs come up with a bootloader. Uploading the firmware .hex file turns the thing into a keyboard; no fuse modification required. You don't need any programmer hardware.
Programming the EEPROM doesn't seem to work, though. Most projects don't use EEPROM a lot, but if one does (example), the LUFA bootloader might still be required. (I tried, unsuccessfully: dfu-programmer atmega32u2 flash-eeprom testhexfile.eep.)