I suspect that a blued finish
is, as you say, MORE dense surface. I suspect its much more dense than a parkerized finish -- but not nearly as thick. Bluing changes the nature of the steel surface, while parkerization is an extra layer applied to the surface. A thicker, less dense parkerized finish probably will hold more oil than a blued finish.
As I said earlier, it's my understanding -- possibly wrong -- that a blued surface, because it has already a formed a rust barrier that, as it was formed, used up some of the chemical in the steel that would allow more aggressive types of rust to occur. It's a barrier, but not a perfect one.
The explanation given you by the gunny sergeant makes some sense, but...
1) I don't think the USMC used many BLUED weapons.
2) As noted earlier, a parkerized finish works as well when just a little oil is used as when a lot of oil is used.
3) You can also apply oil or other rust-preventative solutions to white (unfinished) metal, wipe it off, and a very thin coating will remain and still resist rust or corrosion for varying periods.
4) Why wipe it off after applying oil or CLP-type liquids to blued or parkerized surfaces? To keep it the weapon from being messy and to keep excess oil from making the weapon hard to handle or operate!
5) And, put simply, you can't wipe it all off after you apply it. To get it all off you must use a solvent to strip the surface. This is true whether the surface is blued or unfinished. Otherwise an oil residue will continue to offer a thin chemical barrier and at least some protection.
If anyone reading this can offer a better (or more technically correct) explanation of how bluing (in its many different forms) plays a role in the rust-prevention process, please speak up. (One or two metallurgists have participated here from time to time, and their input would be appreciated.)
If my understanding of how bluing works is really a misunderstanding, I'll happily accept correction -- and learn something useful in the process.
________________
There are any number of corrosion tests available on the 'net that show how various oils and CLP-like liquids work to prevent rust. The tests are all done using unfinished metal, and they all work to some degree -- but some work far better than others. Here's an older test of many of the more popular CLP-type solutions.
http://www.thegunzone.com/rust.html
.