Our most recent supply of these cars has arrived with the non-chromed components having an electrostatically-applied finish. This finish works as a very effective primer/sealer. This finish prevents rust or corrosion both in storage and shipment, as well as throughout the life of the car.
This powder coat finish does not need to be removed. Simply use a scotchbrite pad or similar fine sandpaper to "scuff" the finish, apply a wax and grease remover, then apply your chosen paint color. If the finish is scuffed adequately beforehand, you can even apply body filler directly over the top.
If you decide you like the powdercoat gray color, you could assemble the car as-is and it would remain just as corrosion-free as a normally-painted car.