People have by now gotten used to the possibility of maintaining clean-looking sprockets and chain, thanks to the availability of today's higher-tech, drier lube formulations that allow a chain to get by with very scant (visibly) levels of lubrication.

The factory lube is quite good though, for the situation where the new chain is left to fend on it's own for perhaps a few weeks or more of regular use. I used to see this on new bikes coming into the shop for their first tune-up, where no maintenance other than tire inflation appeared to have yet been done. And the chains still operated quietly, with little in the way of dirt showing (other than that first bit of dust and maybe dried leaf particles that had eliminated the external stickiness within the first few rides.

So I recommend to just ignore the chain for a while (don't stare at it, it's rude). Enjoy life while keeping your hands clean, and note that the now seemingly over-lubed chain (which can and perhaps should be wiped down using a rag with just a light spritz of WD40 on it) WILL lose it's stickiness quickly. The factory lube isn't really for "shipping", but rather is chosen for it's ability to cover the greatest number of use possibilities, so is very effective at keeping the chain quiet for a good long time.