Sheldon Brown has this to say about the factory lube on a new chain:
<<Factory Lube
New chains come pre-lubricated with a grease-type lubricant which has been installed at the factory. This is an excellent lubricant, and has been made to permeate all of the internal interstices in the chain.
This factory lube is superior to any lube that you can apply after the fact.
Some people make the bad mistake of deliberately removing this superior lubricant. Don't do this!
The factory lubricant all by itself is usually good for several hundred miles of service if the bike is not ridden in wet or dusty conditions. It is best not to apply any sort of lube to a new chain until it is clearly needed, because any wet lube you can apply will dilute the factory lube. >>

I left mine on for the first 1,000 miles, and that seemed to work just fine. When it first started squeaking, I took off my chain, cleaned it thoroughly with citrus degreaser, and put my first lube application on it generously.