The penetrating oil also fills the pores of the wood. (Well, that is if it is oil that dries like BLO. Some oils never dry and are used for grain popping only.) The more you can fill the pores of the wood, especially on the more open pore woods like oak and walnut, the smoother the finish will look. And it will take fewer coats of finish to look good. When you need to put on more than two coats of finish to achieve the desired smoothness or gloss, all you are doing with the first coats is filling the pores that you could have done earlier with oil or a sealer of some type.
Rog