most if not all headers go through some type of machining process and in order to machine metal...oil is use in the cutting and drilling stages...some of that oil transfer onto the product....most manufacturers leave the oil on there on purpose to help prevent rusting...you can do like whathisface said and wipe it off but it will burn off eventually anyways...just like the oil on new brake rotors....ever install new one and notice them smoking?
i spray oil on my rotors and let them smoke regularly ....cuz i am badass
