From what I remember reading from the first Direct Checkout thread, Etsy always holds the first payment for 10 days.
Any payment processor reserves the right to hold your money. I have Amazon checkout for another shop, and they hold ALL my payments for 2 weeks, minimum, before releasing them. Paypal has been know to put 21 day holds on accounts for no reason whatsoever. If you sell on Amazon, they can hold your funds for months if they suspect fraud.
It's important to read the fine print, so you aren't thrown when those things happen.