Some say making the marinade with the oil can be a
slight "preventer" in allowing the marinade to penetrate the meat. Dont get me wrong, the flavor will still get into the meat just not as "deep" or "quickly". Also the oil isnt used for flavor, more as an "igniter" for cooking
Some people prefer, my self included, to make new sauce, and to not "contaminate" the cooked chicken, with sauce that was used for soaking uncooked chicken. Now granted, this would only be a concern if you put sauce on the chicken right before you took it off the grill.
I think you might be confused though. You marinade the chicken
and use the suace while cooking it. When using the sauce while cooking, the sauce will drip of the chicken onto the coals creating a third layer of flavor:
1. Marinade
2. Sauce while cooking
3. Vaporized Sauced from coals
You could dip the chicken, some people do that. But they also marinade it too.