Most indoor bike trainer chains are greased. Why? Because it requires a whole lot less routine maintenance. It's not like out on the road where you might care about drivetrain losses and slick gear shifting. A greased chain will typically run for many years on an indoor trainer with zero maintenance. Chain wear is less of an issue too when it's effectively a singlespeed. The gears and chain will just wear together with little chance of jumping even when badly worn.
Now you've gone from a heavier grease to a lighter bike lube, you will need to re-apply it more often. Basically as you would with a normal outdoor bike.