Fats and oils DO splatter when frying and sauteing foods in them - which also
accounts for grease on the stove, the blacksplash, counters, walls and other appliances. Most of the things within the immediate vicinity of the stove.
Some of it IS absorbed into the food though. Which is why when deep frying, you should always make sure that your oil is at the right temp before placing foods to be deep fried into it.
The hotter the oil, the less greasy your deep fried foods will be. Otherwise stuff like French fries can absorb a great deal of oil, won't brown and crisp up at all and will come out limp, soggy and terribly greasy!
But in time, if this grease is not cleaned up from surfaces on a regular basis, it could build up even more and become a sticky mess on things.