Torsten
The reason is that a finish which develops a surface, such as varnish, wears off the contacting surfaces of the teeth and starts to "gum" up the gear train. So if you wanted to treat the cogs you would have to mask off the teeth and check that you have no varnish on their surfaces. Or you could just use a stain, but as said nothing that forms a wearable surface. And I find if you have a darkish frame, the untreated cogs provide a good contrast, attracting your eye to all those slowly turning cogs.
Dave