First wash of wheels
 

I just washed my new Cayman S (still on first tank of gas) and cleaning the wheels was a horrible experience. The brake dust had made a kind of black grease on the wheels and tires. After many paper towels, they are finally clean. Is there some kind of protectant on these wheels from the factory that causes this affect? The wheels are standard S 19" wheels. I sure hope this gets better.

No. No factory protectant on them. It sounds like they may have had some 'overspray' of tire dressing on them...this could possibly be why you are having a greasy mess with the brake dust and that mixing.

Was it on all 4 wheels?

Also, there are much easier ways to clean your wheels than with paper towels! You can use a dedicated wheel cleaner, wheel brushes and get the job done much easier and more complete.

And, as you know, these cars have a tendency to dust up pretty quickly and badly! (unless you're lucky enough to have PCCB!!)

Hope this helps you out!

Pickup a can of armor all wheel protectant. It will help shield the wheels of brake dust and truly works.

I tried some AutoGlym wheel protectant a few weeks ago and was very impressed. Much easier to clean off brake dust.