Bought AutoZone Duralast Gold Disc Brake Rotor and Hub Assembly 42264DG and the rotors are coated with an anti-rust material. AutoZone directions say that the new pads will scrape off the coating at the braking contact area (not sure if this is smart or good for the pads) I also noticed that there is over-spray dust on the races (the races are not smooth or shiny, they feel rough) that come pre-pressed in and I am concerned that the over-spray will cause the new bearings to fail early even if I try to clean the over-spray off as some dust will surely remain in the seams of race to rotor. I also bought AutoZone bearings and Duralast Gold ceramic pads. Nobody that sells Ford OEM has these rotors in stock around where I live. Even the dealer said not in stock so need advice as to what rotors and pads I should use on my 2014 E250 4.6L V8 138 WB.

 

If you clean the inside and brg races with mineral spirits , that shouldn't be a problem.
What could be a problem is using new races with old bearing cones is usually not recommended..
Also, if the calipers are original, you might want to replace them now with new pads. When done, all will be just like new, and should last quite a while.
Don't forget to check pad wear regularly because they have no way of warning of time to replace . By that time the rotors can be wiped out.

When checking pad wear, don't be fooled by just looking at the outside pad, because the inside pad usually wears faster