i think its some kind of oil / lubricant from manufacturing
theirs a couple of things you can try
put em in the oven for a few minutes'
i've found some times the heat helps change the surface texture slightly allowing paint to stick better.
if you don't want to heat treat them , and your prepping them for customs
coat them with your sealant , i use mod podge, BEFORE putting any paint on them.
the sealent clings better to the pony (not sure why it just dose)
and then your paint will cling much better to the sealant than the oily pony.
preventing paint separation, it also helps with paint discoloration after a while if that's an issue your having as well with finished customs after a few months with the paint changing.