Sort of.
Yes, they could serve you a MITM key, but it would be easily discoverable when you compare security codes in the client. And since the client is widely distributed on major app stores, it would be very risky to ship a compromised client.
Ultimately key exchange is a hard problem to solve. Notice that Signal doesn't do anything that much different; Signal does the key exchange and unless you verify each user's key offline, you have to trust it. Both WhatsApp and Signal have an option to display a notice when keys change, but Signal's is on by default.
Overall it's still pretty damn good. WhatsApp is perhaps the only major form of consumer communication where, by default and with no opt-out, every single chat really is fully encrypted using a widely respected protocol (libsignal). That's not nothing.