I thought the manual said to coat the nut side facing the pulley with red lock tight not oil??? as well as threads.
Either way. They indicate on a used nut that you can lubricate the bearing surface of the nut and sprocket with loctite or oil. I prefer oil, which is more in line with the method used on other parts. Maybe they offer the other option for those who are sloppy and tend to get the loctite all over the side of the nut anyway?

The main thing is to lubricate the sliding surface so that excessive friction doesn't seriously affect the actual clamp load. This is common practice whenever you're dealing with relatively high torque values, where the error due to excess friction becomes greater. Think head bolts, compensator bolts or nuts, etc.
Jerry