The cosmoline on new chains is a real dirt attractor.At today's labor rates it would be cheaper to just install a new chain instead.
So, remove the cosmoline to prep the chain for your lube of choice still requires time to clean...
which I prefer to use Zep orange cleaner (from big orange), soak in a tomato sauce glass jar, shake a few times to agitate as it soaks, then rinse with water (in the car), shake, then remove and let it dry in a oven (or toaster oven), then soak in the lube of choice. It's not really labor intensive.
The most labor intensive part is applying a drop or two of lube onto each link.