I bought some blue threadlocker in a little squeeze tube, and it is a very runny and drippy liquid. Is the substance that comes pre-applied to screws and is dry to the touch just the "stick" version which has hardened in the air? Or something different?
It is hard to say for sure how threadlocker gets pre-applied on bolts at factories (most likely not by hand, but who knows).
However, its polymerization happens after contacting the metal, not because of drying on air.
From the Wikipedia article:
Most thread-locking formulas are methacrylate-based and rely on the electrochemical activity of a metal substrate to cause polymerization of the fluid.
A somewhat counterintuitive property of threadlocker is that it "dries" in airless conditions.
Typically, thread-locking fluids are methacrylate-based, and cure anaerobically.
If the fluid is left in an open container without any contact with metals, it will remain liquid.