A: No, black pipe is not for use underground. If you want to run gas underground normally code is flexible pipe but you should check your local code first.
A: The 'grease' is to prevent rust. I'd say the bag is some protection for the threads, and/or so the barcode can go on the bag and not directly onto the product. All black pipe and fittings have this 'grease' on it. If you remove it, the metal will begin to rust unless you seal the metal again.
A: Our products come coated in a light industrial grease prior to shipping as it helps protect the product. After receiving, please wipe down with a cleaning wipe or a light cleaner and paper towels. Wait until dry then spray with a semi-gloss polyurethane spray to clean and seal the pipes. Thank you!