It depends. Traditionally cast-iron did not come pre-seasoned.
Lodge, as you know, specializes in pre-seasoned and enameled cast-iron pans. Lodge pans work great, but there isn't anything exceedingly special about their seasoning; it's simply vegetable oil (soy) baked onto the pan. You should be able to achieve a similar seasoning quality at home using the methods described here:
What's the best way to season a cast iron skillet?
Wagner skillets do not come pre-seasoned from the manufacturer. However, they did typically come with some coating in place to prevent rusting. This coating, while safe, is not intended to be a "seasoning". It wears off over time, and it's role is subsequently filled by proper seasoning.
Update
Based on your photos, that looks to be the coating I described above.
All my attempts to "clean and repair" a sticky-seasoning layer have ended badly as well. I know who already snickers in the background, but my opinion is: start clean. Give the pan a lye bath and a good scrub, then reseason with a better seasoning.
"The new hotness" of flaxseed oil goes back to the fact that it doesn't go rancid easily, without heat it just dries out making a film which can protect things like wood. I bought into it, and seasoned a pan with it, and wondered why all my seasoning tries were unsucessful (I stripped and reseasoned 3 times, I think). I came to blame it on the smooth forged iron.
Then I got Cookwise and read the chapter on fats. And surprise, what does it say? That PUFA stick to everything around. (Makes sense, if you stop to think about it - those unsaturated bonds are unstable, they itch to break apart). So, when I got my next iron pan, I seasoned it with three (very thin) layers of flaxseed oil (for a solid base which will stick to the pan and the finishing layer) and then two layers of lard. After the oven, I heated it from brown to almost-black on the stove (empty).
This seasoning turned out perfect. I made crepes on it, re-oiling once every 7-8 crepes only (no fat in the batter). The pan released them like a charm. The old flaxseed-seasoned pan still sits around with some carbonized matter burnt onto the seasoning, and waits for a lye-flaxseed-lard session.
Of course, I would still take some caution with new seasoning and oil well the first few applications (I only tried the crepes after I noticed that less problematic items work great). And if you tend to often fry with the fashinably-healthy nonsaturated vegetable oils, don't heat them too much, else they could bake in a sticky-seasoning layer onto the pan. In the worst case, if you do get sticky-oil (but not carbon) buildup, try adding a new lard layer before you strip-and-reseason.
Best Answer
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.