Perhaps some kind of factory applied lubricant to make putting the tires on easier? Possibly a mold releasing agent that was not cleaned up at the factory? In any case, as Jeff suggested, I would simply wash the wheels and tires with soap and water and dry them completely. I would have to believe this would cure the problem.
Any time I see a "film" of any kind where it should not be, I simply wash it off to avoid any problems.
