I'm not sure I follow what you mean by less oily. Dark roast beans are more likely to have oil on the surface. The oils are also generally something dark roast lovers try to retain in the brew, which is why a french press or a metal filter are good options for something like a french roast.
I think the oils add more body to the brew, which may affect how you perceive the flavor. This is also why people like light roasts through paper filters to achieve a more "clean" cup.
