The coating is generally a form of wax, which is an excellent chain lube, and less apt to attract dirt than most chain oils.
All you really should do is wipe off (with a dry cloth) any excess.
If the wax seems excessively heavy you can add a little solvent to the cloth, to just wipe off the outer coating.
You want to leave the lube on the inside of the chain, where it's really needed.
bicycles.stackexchange.com/users/1584/Daniel R Hicks
Sheldon Brown says no (http://sheldonbrown.com/chains.html): This factory lube is superior to any lube that you can apply after the fact.
Some people make the bad mistake of deliberately removing this superior lubricant.
Don't do this!
bicycles.stackexchange.com/users/3380/Carson Reinke
It depends on the brand.
Most brands used to use a heavy packing grease that was very tacky and an absolute dirt magnet.
It's more of a preservative for the metal than a lubricant.
Some manufacturers have moved away from that type of grease to a lighter lube that you can use out of the package (Shimano moved to this lighter lubricant if I remember correctly, SRAM has not).
Regardless of brand, if the new chain feels overly tacky you can use your favorite lube and over-apply it to the chain then give it a thorough wipe down to remove the excess.
Your lighter lubricant will combine with the heavier lubricant and help remove it.
You can also use a non-water based solvent on a rag to achieve the same result, just be sure you re-lube the chain afterwards.
bicycles.stackexchange.com/users/2598/joelmdev
I always find it more worthy to ride the new chain as is, and clean it when needed.
Since if you'll need to clean it anyway, at least take advantage it is already lubed, although with a less-than-ideal lube.
I use KMC chains, by the way, and they are in the sticky end of the spectrum, but I didn't perceived any dust-attracting property, at least not more than any other lubed chain, wiped to remove excess or not
(I never remove the excess, but try to put just the "right" amount of oil, not an easy goal although...).
bicycles.stackexchange.com/users/2355/heltonbiker
I would recommend leaving the manufacturers grease in place
but I know it's seems a bit over done on some chains.
If it seems like it'll attract too much dirt
you could take a degreaser like Clean Streak and spray some on a rag and then make one quick pass around the left and right sides of the chain.
Avoid getting the degreaser in contact with the rollers along the top and bottom.
bicycles.stackexchange.com/users/2370/James Moore
I just got a new Shimano CN HG-53
and it was covered in a honey-like lubrication.
I wiped all that stuff of and used my own lubrication on the chain.
Worst part of the factory-applied lube was, that it was all over the place just waiting to collect all kind of dirts on my first ride.
bicycles.stackexchange.com/users/2880/Christian Stade-Schuldt
I have learned the hard way that chain suck can also be caused by sticky factory lube on a new chain.
I followed Sheldon Browns advice to NOT remove the factory lube from a new SRAM chain, something I have always done in the past (and will in the future).
This caused terrible chain suck to the extent I had no confidence in the bike.
I degreased and lubed the chain with my normal go to lube
(Muc Off dry), problem solved!
bicycles.stackexchange.com/users/32794/Gary Fischer
Personal advice, don't clean it.
Let it collect dirt first.
Eventually there will come a time that you'll clean it depending on your use.
Then you degrease and apply your preferred lube.
Saves you time and money.
bicycles.stackexchange.com/users/13451/deepsweech
The wax on KMC chains can sometimes be so thick (perhaps been on shelf for a long time?)
that it causes sounds and sucking even on brand new bikes that are perfecty set up.
In these cases, degreasing and then relubing by soaking will IME solve the problem and improve performance.
bicycles.stackexchange.com/users/None/
Just saying I had a new SRAM chain installed by a local owner of a bike shop who said the factory lube is better than anything you can apply and relube in 300 miles (482 km or three weeks).
bicycles.stackexchange.com/users/39489/80's Cannondale original owner
My new chain is totally coated in lube. I would never ride a bike with a chain like this normally. All that goop is just going to collect flotsam from the road and wear out the chain.  Should I clean this coating off the new chain too?
New chain is pre-lubricated, should I clean it before use?
bicycles.stackexchange.com
<chain>
bicycles.stackexchange.com/questions/7038
bicycles.stackexchange.com/users/2824/Darth Egregious
Most people, including Sheldon Brown, are in agreement that the lube on a new bike chain should not be removed before use, The excess can be wiped off it is too sticky. The grease is far suoerior to anything to be found on the market so there is nopoint to remove it and lube with a different, inferior product. Most comments and online advice suggest that the thick factory lube is better than commercial lubes, but others say that it is tacky and attracts dirt. The excess can be removed from the outside while leaving the lube in the internal parts where they are needed, or a degreaser can be used to remove the factory lube before applying the preferred product.
Some manufacturers add a heavy lube or wax in the factory that is superior to commercially available lube. Others have switched to a lighter lube. Some users say that the factory lube should be left after removing the external excess, others complain that it attracts dirt and should be removed before relubing. If you choose to keep the factory lube, use a cloth with a little solvent to remove the excess from the outside. Otherwise use your normal lube and thoroughly wipe off excess.