Sounds like the finish isn't cured. My understanding with oil is you have to apply it in very thin layers or it takes forever to dry.
Also, while micromesh abrasives are waterproof, I rarely hear of anyone using them wet. Being waterproof mainly means you can clean them by rinsing them off. Another thing is the abrasive is bonded to a more pliable substrate, and backing materials will have an effect on a performance. Softer substrates seem to be less effective on softer materials than hard. Then, you can't judge an abrasive's cutting ability by the grit size, that's just the size of the cutting particles. In other words, 400 grit aluminum oxide will cut differently than 400 grit garnet, which cuts differently than 400 grit silicon carbide, etc., so you can't just substitute one for the other and expect the same results.
For finish work, I've found that silicon carbide abrasives on a waterproof paper backing work the best. Using it wet usually prevents "loading" the paper so quickly, and acts as a lubricant that also suspends broken bits of abrasive particles to assist in the cutting. Micromesh works better for metal stuff like frets.