I've tried it both ways, installing a new chain as it comes out of the package, and first cleaning a new chain and lubing it with my favorite lube. Here are the results of installing a new cheapo KMC 1/8" chain on my commuter. The bike has a Shimano Nexus Premium IGH, 21t cog, and 44t Sugino Messenger ring. This chain has 518 miles on it. Never been cleaned, never been lubed. I lube my chains once I heard the lightest hint of squeeking.
I'm convinced the factory applied thicker, sticky lube results in the best condition your chain will ever see. Ride it till it squeaks, then you're on your own to choose your personal lube.