With over 5 years of K&N filtering in 5 of my own cars and more years of others' cars, I can say wholeheartedly that I've never had any issues with filter oil.
Air box stock replacement:
This does actually help, as I've noticed with the butt-dyno though I haven't empirically tested it. Advantages are that you get stickers and a filter you never have to replace. After 12K-mile filter replacements for 60K miles, you've just paid more than what it costs to buy one K&N, and the original K&N would still be fine whereas you'd have to put in your 6th $10+ filter. Plus, these are actually better. They're better with oil but worse without it as compared to paper filters, so re-oil them every 10K miles. One re-oiling kit costs $10 and lasts about 10 resprays.
Conical K&N filters
On this page
, ZZ Performance states that using a conical filter provides better volumetric efficiency than an open tube. Being that a flat filter in a rectangular prism decreases volumetric efficiency, you do get truly more power out of your car with this filter. Plus, there'* the longevity thing as stated above.