Any grease or contamination on the surface of the towball will affect the performance of your stabiliser which relies on friction pads to grip the towball. The manufacturers apply the coating because they can't guarantee that the towball will not be contaminated after it has left their factory but before you buy it.
Incidentally, it's a good idea to always fit your towball cover after you've unhitched because any road film or even vehicle exhaust contains contaminants that could ruin the pads in your stabiliser. Before hitching up give the towball suface a wipe using a clean cloth with a bit of brake cleaner on it.