Well, Tom, I'll give you half credit.
Nearly all AC, MC, FMC used today has an outer jacket made fron aluminum. I agree that the oil is there as part of the manufacturering process.
Aluminum does, in fact, react with air. This results in a layer of aluminum oxide (think 'aluminum rust' so to speak)forming on the surface of the aluminum. While this layer doesn't flake of as real rust flakes off of iron, it does come off fairly easily. The acids in your sweat combine with aluminum, which is why your hands get so black when you work with MC.
Now .... think for a moment .... what do you get when you mix fine colored particles witha light oil? We have a special word for this mix. We call it 'paint.'
So, in handling the MC we make what amounts to a black paint- which then rubs off onto the wall. Remove the oil, and the black stuff - aluminum oxide- remains.
Unless the surface is completely smooth and non-porous, you're stuck with having to cover your marks with more paint- paint that matches the wall this time.