Seasoning new cast iron cookware
It's possible that you put a too-thick layer of oil on (e.g., if you dumped oil on it instead of wiping it on with a paper towel or similar). Or that you used a oil that doesn't work well; soy works and it's cheap.

But more likely, it just hasn't cured fully—and the fix is simple, bake it longer and/or hotter. The exact time/temperature needed depends on the oil you use. And how much smoking you're willing to tolerate. [Hotter is quicker, but smokes more, up until you get too hot and just burn the seasoning off like an oven cleaning cycle.]

Note typically you put on more than one layer of seasoning.

PS: If it came coated in wax, etc. to prevent rust during shipping, I hope you removed that first. Bare iron is metallic gray.