I leave it on for a while. Some chain brands like SRAM use Gleitmo grease, which if I remember right is an expensive super high quality grease that is put on hot. It is like the finest chain lube on the planet. The chain probably has the best lubrication it will ever have while that grease is on it. Eventually it picks up all sorts of road grit and has to be taken off, but I figure why waste it before it gets dirty.
Shimano uses some low quality crap that should be cleaned before using the chain.