I never heard of any need to wash blades before use, and have not done so. It sounds like a time bandit, though someone else's knowledge or experience may be different. I've seen gripes about glue residue from the paper wrap, but not about oil. Since the 1960s, what has kept blades from rusting has not been oil but has been their composition, usually stainless steel or coating in materials such as teflon or chrome.
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Do you need to wash new blades?