Bearings are very sensitive to contamination from dust and moisture. Therefore protection of the bearing is very important, to ensure that your bearings will last more than 2 days!

Protection of the bearing inside
Standard general purpose contacting seals provide good protection but give rather high friction.
Metallic shields are less expensive than contacting seals and have less friction, but they do not protect well at all against water splash. Therefore this seal is not recommended for the outer side of the bearing.
So, for skating applications, SKF recommends a special sealing arrangement:
- On the bearing outer side: a special non-contacting seal to protect the bearing inner parts (raceways, balls, lubricant) from dust, moisture or water entry.
- On the bearing inner side: a Z-shield for lowest friction and reduced cost.

The grease protects also the inner parts of a bearing. But this brings a lot of friction. Nevertheless a greased bearing has always better inner protection than an oiled bearing.

Don't forget that
Water entry in a bearing creates rust in 24 hours
Water in the bearing destroys the lubricant.
Dust in the lubricant increases the friction quite a lot
Dust leads to destruction of the raceway finishing.
Dust particles can also block the bearing while skating!

Protection of bearing outer parts
Bearings are made of steel to have good robustness. Stainless steel could be the best way to avoid any rust on outer parts and inner parts. Meanwhile it is also more expensive and cannot be compared in hardness and loads carrying capacity with standard steel bearings.
Bearings could be painted or could have a special treatment to protect the outer parts. This however is expensive and cannot be done on the outer parts only while manufacturing the bearing, bearing inner parts would also be treated and this would create additional friction. Also, these treatments in general are not compatible with the lubricant and seals. Therefore, SKF supplies bearings with a special oil coating, which protects the bearing from rust and moisture. Once mounted, the bearing is still protected. You just have to take care about it when dismounting and remounting.
If you remount bearings, it is advised to coat the bearing outer parts with some SKF oil or SKF grease.