Maybe the groove assists in maintaining the proper amount/thickness of oil on the axles. If there is too much oil, the only place for it to go on a non-grooved axle is against the axle head or car body. A groove allows the compressed, expanding oil a place to go to mellow out and not induce drag. I wonder how gravity affects the flow of the oil on a canted axle vs straight axle car. Obviously, liquids tend to flow downhill when coupled with gravity, unless an outside force(s) counteract, such as shooting a stream of air at said liquid or some other force that we thankfully don't have to deal with in the spectrum of PWD racing. Although, centrifugal force created by the rotating wheel, could come into play with oil and grooved axles. Maybe the spinning of the wheels helps the oil stay in the sweet spot, splattering lube back into the groove where just enough drizzles into the groove, in tandem with the handling and staging of the car that it helps maintain a more desirable layer of oil.
I do believe that capillary action would be within the realm.