Strange film on new records.

Not sure what it is exactly but my guess would be some residue from the pressing process or mold release agent.
I would just return them tbh.

Defective records should be returned to the retailer for refund, replacement, or credit as appropriate.

Use a blowtorch to get the film off the vinyl.  

uberwaltz, the mold release agent is mixed in with the PVC. It is one of the additives along with plasticizer. Acetone will not melt the record. 
P-J, try brake cleaning fluid. Wipe with a microfiber cloth. Most brushes will not reach to the bottom of the groove so your stylus may gum up for a few playings. It may be fungus growing on the PVC. This will happen in very humid environments. Some records have sat for years in stores with bad environments and even though they were not opened humidity will get in. 
You could also try a pressure washer. Put the record on a towel and place a heavy weight over the label. Shoot straight down on the record. If you go at an angle the record will take off even with the weight on it. I have never tried this but it is an interesting idea. I will give it a go when the temp gets above freezing. You will have to rinse with distilled water. You could also soak the record in a record cleaning solution first. The pressure washer will certainly blow everything out of the grooves and a pressure washer is cheaper than most record cleaning machines!

mijostyn"Some records have sat for years in stores with bad environments and even though they were not opened humidity will get in."

If they were sealed at the factory then moisture can not enter into the package and reach the record that is what is meant by "sealed."