Moly Lube, Cosmoline, or any other industrial lube / preservative / coatings that may have been put on the parts before assembly to keep rust and other oxidation crap off them. Pretty much benign, but WILL discolor your oil first time or two until it get washed off via friction / detergent action of whatever lube you are using.
Each gearbox is unique, as each individual part has it's own individual tolerances on it, and now when you assemble them into a 'unit' they all have to play nice with each other, as they mesh in, wear in to the overall train. Fine shavings are normal in fact as you go, will probably see small amounts through the life of the unit. Ideally there will be none or minimal, but just their presence is not an issue unless it gets bigger parts or a LOT of them!
As for how much to change the oil color. You have to remember, some of these particles are sub micron size, like stupid fine talcum powder fine. It's not like your gear teeth are slamming and smashing into each other knocking chunks out, it's more initial contact wear if anything. once you hit the power, and romp on it, and torque it, all the power vectors change, the loading surfaces change, especially as it torques up with the load, and new parts are now carrying the strain in different areas, engaging each other in ways not before seen. When the powder is that stupid fine, it doesn't take much to change the color. Take a rough piece of wood and sand it, it becomes smooth. Kind of the same thing happening, the gears and cams and whatever are rough... even though they may be machined, microscopically they are rough... as they rub on each other, they smooth each other out, just like sandpaper does when you rub it on wood, and what you are seeing is essentially the metal 'sawdust' of this action.
I also refine gold as one of my many hobbies. When I drop it from an AR solution, the sediment can be anywhere from a dark grey color, to a reddish almost brown rust color, but it's all gold, and once you melt it down, it gets back to it's original color. That's just because of it's miniscule size, how it diffracts the light and your eye interprets it. Don't let color or even it's presence scare you, again unless it's a lot.
Aaron