Heh. So why on earth would a manufacturer provide a chain in a state wholly inappropriate for immediate use anyway? Maybe if they wanted to go out of business within a year or two as J. Average. User would immediately post on bikeforums 'Acme chains suxors! I put one on and it was all jacked up in just one week!' Bike shops would be cranky because they'd have to go through this whole PROCESS for every such chain they had to install.
Thems that sez otherwise, that chains are somehow packed in preservative, like cod in salt, needs to go and not grease their tapers.
I'm in agreement with Mr. Cupery on this one, and not just because I'm also an ex-Michigander, even down to his normal practice. Wipe it if you want, lube it as you need to, when it needs it, with whatever you like best, but not WD-40.