I bought my first SRAM chain a few weeks ago and mounted it without cleaning it right away. I don't think the stuff on it was a lubricant...it was more viscous than any lube I've seen and was fairly sticky. A lot of road grime accumulated quickly.
Degreasing and then lubricating right away would be a good idea. You'll find lengthy threads about which cleaner and lube/how often/what technique. For my part, EcoTech and White Lightning/weekly/Finish Line chain cleaner.