I think it's because cones dry to a solid, where oils do not.
For me it's not about natural vs synthetic. I use mineral oil in my hair, and there are plenty of other synthetic ingredients in the stuff I and most of us use. I even use water soluble cones in some things.

And I'm not fully opposed to using regular cones, since I low poo.

I don't know all the science behind it, but oils do wash out better. They will penetrate the hair shaft (eventually) rather than coat it (except mineral oil, I think), and they don't dry to a solid film.
2c/3a/3b, Fine/med, Dense, high porous, & normal elas.

Lo-poo - Renpure Keratin, SMR, Giovanni SaS
clarifying - mix Johnson's H2T with low poo
Co-wash - Suave Nats. clar. or coco.
RO - GVPCB, Ion Eff. Care, TN.
LI - SMR, Cure Care, or RO
Seal - MO or Jojoba
DT - + honey, ACV, & EVOO to SM masque & GVPCB
PT - Gelatin!, CNPF
Styling - FSG, AIF, BRHG, LALS/PS, GF curl spray gel, SM Souffle/Smoothie, LOOB
Oils - MO!, EVOO, jojoba, GSO, SM Elixer, EVCO, VO5 Hairdressing