Do I need to use thread locker or spoke prep when building wheels if spokes come pre-treated?
DT Swiss make a series of spokes called ProLock which incorporate a re-usable thread-lock type feature. You can build these over several days no problem and re-true them for years without trouble. It isn't blue, so that isn't what you have.

The usual blue stuff is Loctite 242 which I would not personally want to use on spokes because it sets in ten minutes and is fully cured after 24 hours; after it cures you can fully break it apart but not make small adjustments, so later truing will not really work. Should you wish to remove it Loctite's data sheet suggests the correct solvent to use is methylene chloride.

I personally use grease on spoke threads, as on any other threads which don't need locking. With grease or ProLock you can take as long as you like. I never tried Spoke Prep for lack of a UK supplier at a reasonable price.