I've done one small piece with Wenge and didn't have any issues with an oil finish.

Wenge is brittle along the grain and splinters like crazy - it's one of the worst for that.  Make sure you back up any cuts.

But wait - there's more.  Wenge splinters commonly get infected.  The infections I got from two different splinters (yep, on just one project) were just minor, didn't need to be treated, but still irritating.  My son has had the same experience with it.

I've worked with it a couple of times and I didn't have any issues. Maybe that's just me...I've used it for several kitchen accessories.

Here I've used it to enhance the look of a blackboard eraser for the refrigerator.

I've used Wenge on several projects and finished with Rocklers Maloof finish of oil and poly followed by wax buffed out.  Works great and it does soak in the finish.

Agree on the care when working due to splinters.  Break any edges and I tend to wet sand it with finish down to 400 grit which works wonderfully.

If you use an oil finish on wenge, the lighter striations will get darker, and will be much less noticeable than when the wenge is freshly sanded or planed. If you want to keep the contrast between the two colors you would need to use a different finish. Alternately, I've seen wenge that has been bleached, to increase the contrast between the light and dark striations, and I believe I've seen instances of people using a light or white stain fir the same purpose. I don't have enough experience with either to give you better advice though.

A warning about wenge.  The wood can split easily, and it tends to be nasty in regards to splinters. The splinters tend to be smooth so in some ways it's not as bad as a wood like purpleheart, but the splinters also tend to be sharp and brittle. If you do get splinters I would recommend cutting them out with a clean razor blade if you can't get them out with tweezers. I would also recommend gloves and arm protection.

Wenge also tends  to tear out while planing if you take too heavy a cut, or your knives aren't sharp enough. The contrast in hardness between the dark and light grain can make the tearout way worse than with typical North American hardwoods.

Lol.  So I was at the lumber yard yesterday to pick up some padauk, but I decided to flip through the wenge stacks to get an idea of the grain patterns available.  A little voice in my head said maybe you should wait until the next time when you remember to bring your gloves, it's not like you're going to be carrying around the boards or loading them in the truck.  Well, this morning when I awoke and flexed my hands I could feel that they were achy and swollen in quite a few places.  I've just now concluded about a half hour digging out at least 8 small wenge splinters, so small I never felt them going in, but large enough once lodged in my hands to activate a hostile response from my body.  And I have the bloody tweezers to prove it.  Live and learn the hard way.   

So, I finally picked up a thick board of wenge for a small project I'm doing -- 8/4 stock maybe 5" wide and 8 ft. long.  I've only just begun working with it, but already I've run into some very odd features of the wood.

I'm currently making the individual pieces of the board, and as I was trying to joint the edge of each piece yesterday, I found that many -- maybe most of my planes -- were ineffective on it.  The low angle jack just rides over the surface and creates a fine dust.  The jointer plane, bedded at 45 degree, did a little better, but was removing most of the shavings from the front and back of the cut rather than the middle.  The only plane that would bite the surface evenly was my 4 1/2", which I have set to middle pitch with a 55 degree frog.  The blades are super sharp -- I sharpened them all before starting, and they work great in normal wood.  There's something about the wenge that prevents the metal from biting at lower angles of attack.  I don;'t know what I'm going to do when I have to dimension the pieces to final size, which necessarily involves a lot of handplane work because of their non standard shapes.  I may have to resort to shaving them down with a power planer.