I'll add some data points from recent experience:
My two Izumi Ecos came out of the package coated in a thin layer of sticky wax. Definitely for rust prevention rather than lubrication, I'd say.
The KMC 710SL came out of the package slathered in a wet coating that seemed much more lube-like. (Unfortunately, it also broke my chain tool pin, so I don't know how it rides yet
)