My HSA was not set up(I opted for FSA) but Box 12 Code W (employee contribution to HSA) shows up in my W2. Do I need to file an amended return with a new W2 (no Box 12)?

Contact your employer for a corrected Form W-2 if you did not contribute to an HSA. 

Wait until you receive a corrected W-2 form before amending your return. Your employer needs to send the corrected form to the IRS.