Amalthea's a bit of a special case, though. Its reddish color (plus some yellows, as I recall) is likely due to deposition of Ionian volcanic ejecta over time. Volcanically active large moons may be common around Jovians, but we have no data one way or another. Also, I don't see a close moon of a gas giant being knocked out of orbit in one piece considering the acceleration required to accomplish just that alone (to say nothing of achieving system escape velocity) not to mention doing so without shaking off all the ejecta deposits...

Probability and observations to date seem to strongly favor this thing being an asteroid or a relatively rocky TNO-equivalent. Again, hopefully better spectral data will be acquired to help constrain the composition and possibilities.

I wouldn't call the ejection of a small Jovian moon as a likely origin. But take an eccentric Amalthea equivalent with a slingshot or a resonant encounter with an Earth-sized hot moon around a gas giant, and consider the Oberth effect near periapsis.
All I wanted to say is, that there may exist many unlikely scenarios that sum up to a non-negligible probability. When we look at exoplanets, there are all conceivable scenarios of stellar systems, such that we can't simply extrapolate our solar system as representative.
Just observing a red color and lack of sublimation doesn't constrain the scenarios of the origin of the body very much. All we know is, that probably several meters of the top layer don't contain relevant amounts of volatiles, and the material of the top few microns looks red.

I suspect that the xenoasteroid's redness has something to do with its exposure for millions of years to energetic cosmic rays and to its surface being mostly untouched ever since it abandoned its original solar system. keep in mind, that since then, it should have encountered mostly minuscule interstellar dust particles.

Pity we'll never get a high-res image of it. Its cratering history might provide some clues about where in its parent system it originated, and any truly fresh ones could provide clues about the density of meteor-sized objects in the interstellar medium (unless it got whacked by junk entering our system).

Or Dave Lister finally finished that paint job...

I wonder, how this observation of an extrasolar asteroid connects to interstellar dust, as observed by Ulysses in 1992.
All models I've been coming across ignore the presence of interstellar grains much larger than one micron.
So, there arise two straightforward questions:
- Can the interstellar asteroid be regarded as a particular large dust grain of a population of interstellar dust? and
- Do explanations of the grain size distribution of interstellar dust ignore interstellar asteroids as a significant supply of material?

Taken together, needs the "IDGSDF" to be extended to the grain size of asteroids in order to obtain a proper model of interstellar dust?

IIRC interstellar grains are mostly supposed to form in dust clouds and be expelled by stellar winds, or in supernova explosions, while exocomets and exoasteroids are ejected by good old gravitational perturbations. So the origins of these bodies (if you can call interstellar dust "body") are different.
we have also seen our solar system produce its interstellar comets, for example comet Bowell in 1980 and possibly comet Lexell in the late 18th century (which may or may not have been expelled from the solar system). I remember reading an article in Sky & Telescope (but it may have been a different magazine) in 1997 or 98 explaining that expulsion from the solar system is a common fate for planet-crossing asteroid such as near Earth objects.

The paper I mentioned above says at the end of page 1, that there is a discrepancy between the expected residence time of 2.5 Gyrs of a dust grain in the ISM and the expected lifetime of 0.5 Gyrs of a dust grain. Then they try to overcome this discrepancy by grain growth in cold molecular clouds (subsection 4.2):

With the presence of interstellar comets and asteroids, I'm not sure, whether this conclusion is evident, since new grains could also form by collisions of small dust grains with these larger bodies, such that we should get a secondary population of interstellar dust grains made of debris, possibly statistically comoving with the (rogue) asteroids and comets. If this turns out to be realistic, we should get information about "interstellar interlopers" by the analysis of interstellar dust.
Since there may exist many such unbound small bodies, some useful result regarding an origin could only be obtained, if these small bodies form themselves a more or less comoving cloud, inducing such a co-motion into the according presumed debris made of interstellar dust.

One of the more interesting things I'd come across about fine dust, is that within the solar system,
magnetic field effects can be much stronger than gravity or radiation.

That does suggest that, depending on what sort of dust you have, (i.e. A) whether the grains have an internal magnetic field, B ) they are susceptible to having a field induced, C) they're non magnetic) you could get some interesting magnetic attraction effects.

a new naming convention for interstellar objects: meet I/2017 U1 'Oumuamua.

https://www.minorplanetcenter.net/mpec/K17/K17V17.html

You omitted the 1, which when you get down to things like 2 Pallas and 4 Vesta, is a neat bit of history.

1I/'Oumuamua

So when Rama arrives in 2130 (Arthur C. Clarke), it will be 367I/Rama

In our solar system, small (asteroid) and very small (dust) solid particles occupy a continuous distribution of size and occurrence, but there are many factors that hold constant in our solar system that will not hold for small bodies created galaxy-wide, and there are still more factors that will not hold constant for bodies that have crossed interstellar distances, and there is yet another striking selection effect in the fact that this thing survived a near-brush with the Sun.

The oldest stars in the universe would have no metals in them, just hydrogen and helium. There's no way to make a solid body out of those elements, so the source star has to be second generation, at least. But it might come from a system that has plentiful oxygen but nothing so heavy as iron or even silicon. Systems that are older will have fewer heavier elements, which would mean no rocks or even dust for the bodies in that system to begin accreting around. But it seems impossible for something made only of ice to survive that passage by the Sun, or even to be red. A younger system will have more of the elements to explain this thing's nature, but less time for the interstellar journey to have taken place. A lot of these factors are easy to mention in qualitative terms but are unconstrained quantitatively.

Other selection effects: Possibly the existence of giant planets that could have enabled a gravity assist to eject them this far, this fast. And that constrains the source star in ways that we don't yet understand. Juno and the newly-observed neutron star collision are both opportunities to learn the basics of how elemental/planet creation depends upon the stuff (nuclear chemistry) that's available.

So, there's a lot to learn about a lot. If anything, I think this discovery makes it seem worthwhile to prepare for future bodies, and if possible, to catch them and do in situ compositional analysis before they make any close approaches to the Sun.

a good update on what's known about 'Oumuamua, cortesy of Sky & Telescope:
Update on ‘Oumuamua, Our First Interstellar Object

and ideas for a reconnaissance mission using existing or near-term technology
Project Lyra: Sending a Spacecraft to 1I/'Oumuamua (former A/2017 U1), the Interstellar Asteroid

Might be "a day late and a dollar short" but could Cassini have caught up to Oumuaroua?
Probably not, because Oumuamua and Saturn are on different sides of the sun now, (would require a slingshot past Jupiter and the sun IIRC)

But as a "what if" question, let's say that Oumuamua was heading towards Saturn...
There was an article "Cassini Saturn-escape trajectories to Jupiter, Uranus, and Neptune" which mentioned a possible Uranus or solar escape trajectories for a Cassini extended mission, so given enough computing time and slingshots, it appears Cassini could match that velocity.

The spacecraft would not have survived the trip. Remember - the reason Cassini was scuttled was because it was almost out of fuel for attitude control.