Pull a new brake rotor out of the box and it often feels oily or has a slick coating. That is intentional - but it has to come off before you drive. Here is what the coating on new brake rotors is.
It is rust protection
Bare cast iron rusts quickly, so manufacturers apply a protective oil or a light coating to the rotor to survive shipping and shelf time without corroding. It is doing its job in the box - keeping the machined surfaces clean.
You must clean it off the friction faces
Before installing, wipe the rotor friction surfaces with brake cleaner to remove the oil - if you leave it on, the pads will glaze, smoke, and brake poorly until it burns off; see bedding in brakes. This is a must-do step.
Coated (painted) rotors are different
Some quality rotors have a permanent zinc or geomet coating on the non-friction areas (hat and edges) to fight rust long-term - that stays on. Only the protective oil film on the friction faces needs cleaning; the hat coating is meant to remain.
Do it right
Clean the friction surfaces, install, and bed the pads in properly for quiet, strong braking; see new brake noise. Fit quality pads and hardware.