Now that you mention it, the KMC chains I've handled recently seemed a bit sticky, but I didn't get a sense that the coating was something other than grease. No matter, I just mount them, wipe all the excess off, and ride. After a few hundred miles, I relube -or- if I'm feeling a bit energetic, I may clean the chain in my ultrasonic cleaner and then relube. I'm getting at least 3,000 miles from a chain and I can't see any difference in shifting or noise with the factory lube vs. other lubes - so no plans to do anything different.
Thanks for starting this thread. I've heard that chain lube practices are rarely discussed here.