Shimano says that a chain should never be removed for cleaning.

I can't speak to their reasoning on it. Maybe it has to do with the fact that they don't recommend or provide a quick-link, and breaking the chain is not good for it. But IMO it also has to do with the fact that soaking out all the lube is a dangerous operation. It's not all that easy to get lube back in everywhere without injecting dirt along with it.

Think about the nature of the OEM coating. It's waxy, right? That means it will squeeze out of the bearing surfaces and pile up around the place where the rivet enters the inner plate, sealing the bearing surface from dirt. The bearing surface is the only place on a chain where lube and dirt matter. If a sticky outer surface grabs the dirt before it gets there, that's a good thing!

All chains come with the same type of coating. NONE of them say to wash it off. I think we should trust the engineers on this one.