Yes, you do need to remove that dull grey finish before you use your new rotors, as that is an anti-rust protective coating. If you don't remove it first, you will damage the rotors and clog up your pads. To remove it, just spray them down liberally with any brake cleaner spray; no scrubbing should be necessary. If in doubt though, just ask the parts person at your local MB dealer. Also, you don't have to clean off the whole surface, just both sides where the pads touch the rotor, though a little overspray won't hurt.
1962 MB 220SEb Sedan 189,000
1963 Vespa VNB4T 125 motor scooter 11,500
1992 MB 300TE 4Matic Wagon 137,000
1995 Subaru Legacy AWD Wagon 98,000