When I purchased a Connex chain, it was also impregnated with the 'goo'. Old school guy that I am, I also thought it would be a good idea to soak it out and relube it. I sent an email to Connex tech support asking what the best solvent would be to cut it. They said "petrol will be fine, but why do you want to remove it?" They also mentioned wiping off the outside and running it as-is until it needed its first cleaning, as the goo was an effective lubricant....
B'Dog
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2006 Gary Fisher Marlin MTB
2004 Salsa LaRaza aka "Mmmm, Blue Salsa" (853 steel is real, baby!)
2003 Kona Humu Humu Nuka Nuka Apua'A Singlespeed - Gone, but not forgotten
1998 Diamondback Outlook MTB
1990 Centurion Cavaletto 'Gaspipe Beater' Roadie
1978 Volkscycle 'Frankenbike' CroMo Tourer