My pressure gauge came coated in something and I can see a bubble in the gauge, is it leaking?

No, it's likely not leaking. The oil inside the shipping bag is an inhibitor for corrosion if the unit happened to sit on the shelf for a longer period of time, not the glycerin inside the gauge.

This is a normal occurrence with Glycerin-filled pressure gauges to have the bubble located at the top. The liquid inside is for vibration resistance and longevity of the pressure gauge.  That air bubble is actually in there to maintain some flexibility in the diaphragm, without it the pressure gauge would not work. This is typically 65%-85% full depending on a lot of factors during the manufacturing process. Think of it like balancing a tire. Different amounts of weight/ pressure are used to calibrate the gauge to the exact psi of CO2 going into it.