I've got a pair of front rotors purchased ahead of time. The sticky coating is a protectant to prevent rust while the parts are in storage. You definitely should remove it when you get the rotors mounted and before you put the calipers/pads back on.
Not sure what to recommend to clean with. When the time comes I'll probably use carb/choke cleaner and then alcohol (the non-drinkable kind - no need to tempt fate.)