I did nothing to the nut out of the packet. Unfortunately it seems that the nut is too low (short).

I tested the by holding down the 3rd fret and it hits the first fret. Looks like I will need to replace the nut which is a pain as I have not modified anything but to be fair I didn’t pick anything up until now.

A new nut should fix the height in front and behind and hopefully the buzz.
Alternatively, you can shim the nut slot (in the fretboard) to raise the existing nut.

When I need to do this, I use timber veneer. The good things about using veneer is, one, it's real wood; and two, it's available in all kinds of colours (timber types). Jarrah & Blackwood can be a really close match to rosewood, and Pine works pretty well with Maple (I haven't found Maple veneer locally). Of course it can stained or coloured to match too.

I have a local joinery that gives me off-cuts of veneer for free (they refuse to take my money or even coffee!) so I have a range of different colours. They come in different thicknesses too. Most of the hardwood veneer I have is around .7mm which is usually perfect.

Cut your shim so it fits snuggly width-wise leaving the length just a smidge long (.5mm each end). The width can adjusted with a few swipes of 400 sandpaper. Glue it in with a small amount of wood glue making sure it's sitting flat in the slot. I clamp it using the nut, but making sure the nut isn't also getting glued in (yet).
After it's set use a jeweler's file or tiny sanding block to trim the ends flush with the slot. Now proceed with gluing in the nut and adjusting you individual string slot depths/string height.

Cutting nuts and filing string slots is a whole other topic, but happy to help with that too if/when you get to it!
Keep us posted on what you do and of course the result.

NOTE: There is the option of filling the offending low string slot doing the CA & baking soda trick, but that is more a temporary solution in my opinion. Using bone dust instead of baking soda is better, but I still feel raising the nut and re-cutting the string slots is the best method, short of replacing the nut.