Since his first Grand Slam - Wimbledon 2003 - Federer has played 35 Grand Slams. He has lost a set before the 4th round in 16 of the Grand Slams. He went on to win the Major that he lost a set in the first week in 7 of the Grand Slams. In his last three wins at Majors, he lost a set in the first week and went on to win the Major. Nothing to be too concerned about fellow Federer worshipers.