After they dip the steel into the molten zinc, they bring it out and dip it into some kind of light oil to cool it quickly (that's quenching). Occasionally you'll pick up a freshly galvanised piece to load it and a bit of the oil will run out. I don't suppose it is for any kind of heat treatment of the coating and is probably just so they can handle the pieces without waiting for them to cool and get them out of the way quickly.
The quick cooling of the steel is - anecdotally - what causes warping. I'm no metallurgist though.

