Like many things in life, things are more complicated than they appear.
Factory grease is what it is, largely because shipping lubricant needs to be solid. Liquid lube doesn’t work long term because water is heavier than oil and eventually displaces it. Sometimes chains sit for 10+ years in the packaging. Plastic is permeable. Water vapor gets through eventually, very slowly, but it does get through.
Is factory grease worse than other lubes straight out of the box? That one’s true and pretty easy to prove, but potentially meaningless in a lot of situations. Ball bearings in high speed machinery need to be broken in and warmed up regularly. This displaces the grease and the friction decreases significantly afterwards. It’s similar with chains. A broken-in, warmed up chain with factory lube can have significantly less friction than one straight out of the box.
Problem is that the lube is also a dirt magnet, so sooner or later you have to deal with that. However, you don’t have to deal with rust.
If you strip your chains and wax them (like I do), you don’t have to deal with dirt, but you eventually have to deal with rust. Wax lubes don’t penetrate the way solvent-based lubricants do.
So it’s a trade off. Dirty chains are inefficient. Rusty chains are inefficient. Which are you more likely to be plagued by?