My personal preference is to remove the factory protectant. I call it a protectant because it's to sticky to be an ideal lube. My guess is that they coat the chain with the stuff so they aren't liable for someone who doesn't maintain their bike, the chain rusts and subsequently breaks. I can't see the factory protectant ever coming off without the use of a solvent so they've covered their asses.

I've tried simple green to remove the stuff but I found it lacking when it comes to tar so I ended up buying a can of brake cleaner for $2.50. If you've already put alot of miles on the bike you may want to spray off the teeth too since they're probably covered in tar and have collected grit that'll cause excessive wear.