Do all new cast iron pans and skillets have a protective coating on them, which must be removed?
This coating is not the same thing as a seasoning. 

Iron rusts when exposed to air. For cooking purposes, you season it, and it prevents rusting. Some manufacturers sell their iron cookware pre-seasoned, but others use other types of coating to prevent rust. This other coating can consist of wax or petroleum products such as parafin. Its only purpose is to seal the pan air-tight for the time it spends in warehouses and stores. It would melt during cooking and mix with your food. Therefore, you can't use it instead of seasoning. 

But you can't season a pan "on top" of the wax coating. The real seasoning would stick to the wax, and when the wax melts, the seasoning will come off. Therefore, you have to remove the wax coating before making a normal seasoning from polymerized oil. 

If you bought a pan which was seasoned instead of wax-coated, you can start using it without any removing and re-seasoning.