I've never purchased OEM rotors before but all of the performance rotors I have purchased (RacingBrake, Stoptech) have been lightly coated with oil and packed in a clear plastic bag; part of the installation process is to spray them down with brake cleaner to remove the oil.
That said, it's very easy to get surface rust on an uncoated rotor (happens every car wash for me), so you should be able to clean it up pretty easily. Spraying it with a penetrant like WD40 will probably make a quick job out of it, but make sure you hit it with brake cleaner before installing it
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