Just finished changing the oil for the first time since I installed the drain plug with the magnet on it. There was some gray stuff on the magnet (like a slimy gray powder, not a lot just a thin 'film' of it. Is this normal?

 

Yes, that's just minor metal wear, extra crap from building, flashing and such. Maybe even some assembly lube sometimes they use graphite style.

 

Sounds like what is on a Auto Trans magnet?
Almost like a liquid graphite?

 

Yes, almost like liquid graphite.