Is McMaster-Carr always this weird or did I order from the wrong site?

That woven sleeve is just thier standard packaging for long bar stock, nothing exotic about what you ordered. McMaster ships any ground-finished or cold-drawn rod with a knitted sleeve slipped over it to keep the surface from getting scarred up against the other pieces in the box during shipping. A quarter inch rod rattling around in a long tube would come out covered in scuffs otherwise, and their whole business runs on machinists and fabricators who get grumpy when stock arrives scratched. The sleeve also keeps the oil that's on the steel from smearing all over the box and the paperwork, which is a bigger deal than it sounds when you're pulling parts out on a clean bench. They do this for basically anything long and thin, especially if it has a decent finish on it. Round rod, drill rod, shafting, threaded rod sometimes, all get the sleeve treatment if the finish calls for it. Hot rolled black bar usually just gets tossed in the box bare becuase nobody cares about scuffs on mill scale. Your launch rail section is probly cold drawn or ground, so it got the fancy treatment.

And yeah, those specific labels on everything are just how they operate. Every bag and box is individually labeled with the part number, description, and your order info. It's an industrial supply thing, someone receiving that package at a machine shop wants to check each item against a packing slip without unwrapping everything. Comes across as obsessive until you've had to sort a mixed order.

For a launch rail you're honestly better off with that finish anyway. Clean smooth rod slides nicer through the rail buttons and doesn't chew up the buttons themselves the way rusty hot rolled stock would. Wipe the oil off with some acetone or alcohol before you use it, otherwise the buttons pick up black gunk. Then give it a light coat of something dry so it doesn't flash rust sitting in your range box.

Can confirm the sleeve thing, I ordered some stainless shafting for a router jig last year and every piece came wrapped in that same mesh stuff. The funny part was the plain hex bolts in the same box were just dumped in a little baggie like normal, so they really do pick and choose based on the finish. Also second the wipe down before use, I skipped that once and my rail buttons came off with a black film on them that took a bit of scrubbing to get off.

Funny, my first order from them was just a handful of springs and screws and I thougt the same thing about the labels. The weird part for me was how fast it showed up, like it crossed the country overnight somehow and I didn't pay extra for that. Still can't figure out how a company that size moves like that. Also did anyone else notice the steel kind of smells like the inside of a machine shop when you open the bag? Is that just how raw steel always is and the hobby shop stuff is coated in something different?

Keep that sleeve when you're done with it, sounds dumb but I slid mine back over a length of shafting I keep in the truck bed and two years later it still looks the day it showed up. Bare steel in a range box or tool bin will rust on you fast, especally with any humidity. Also if you're cutting that rail stock down yourself, deburr the cut end real good or it'll eat the first few inches of rail button every launch. A few passes with a file is all it took on mine.

Gonna push back on the hot rolled ships bare thing. I ordered some cheap hot rolled flat bar from them last spring for trailer brackets and it still showed up in that same mesh sleeve, scuffs and all the finish. My guess is it's more about the length than the surface, anything long enough to stick out of a normal box gets wrapped regardless. So OP probably would've gotten the sleeve either way.