I've bent bow wood with steam or a heat gun hundreds of times and never used oil ONCE... and never ONCE wished that I had. That tells me it's unnecessary, and I won't unnecessarily soak my bow wood with oil. I try to abide by the oft-given advice 'wet heat for wet wood, dry heat for dry wood'... and while I don't adhere to it 100%, maybe that helps keep me out of trouble.
When I steam selfbow staves, I make sure the bow's backs and ends have 2 good coats of shellac on them. With dry heat, when the wood is dry, often there's no shellac left on it, and it doesn't seem to matter one bit. Practically no issues in 20 years of bending stuff.
Steam doesn't permeate the wood per se, it's more a vehicle to surround and move heat along the wood as it passes by. In fact, steaming a wet/green stave actually draws moisture OUT.
I think folks sometimes have issues because they heat the wood unevenly and/or too quickly... with a heat gun.