Probably no big deal to install a new chain and only lube the master initially. But, I would not do it for two reasons. The lube on the chain from the manufacturer is primarily a preservative. Most preservatives are that and not high pressure lubricants. The second reason is it is so easy to clean and lube the chain. It is almost a Zen moment while doing it.
Yet, reason tells me that riding off on a new chain with only the factory stuff on it should not damage the chain since the chain companies expect that someone will try it. But, I bet a fried chain and/or sprocket at 500 miles, with only the factory gunk on it, will not garner any warranty support.
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