Yes, you can correct for ovality. It's something that you should check for during a wheel build. You tension a matched pair of L/R spokes so as to "pull in" a high spot without affecting lateral truth.
A good, new rim should be pretty much round from the word go, though. More importantly, a millimetre or so isn't such a big deal because most tyres will have that sort of imperfection in them anyway, so you won't notice it when you're riding.