I wonder if the oil is to keep its flavor, instead of it just being released into the air? I have never seen that before, even long ago in those Hungarian stores in NY - the first places I found real paprika!
I always keep my paprika in Foodsaver packs - the flavor keeps pretty much forever in those, and I just refill jars from them, and reseal them. I used to keep it in ziplocs, but in the freezer. If you don't use it very often, maybe keep a jar in the fridge, and if it was the oiled type, I'd definitely keep it in the fridge.