I think you get a sticky film of oil and dust no matter what oil you use. Try cleaning the saw when the saw is warm. I find that helps. I appreciate you having tried the veggie, Pisna. The environment is a bit better for it, as well as the inside of your home and laundry area.
I ran out of veggie the other day, Nick refilled my bar oil tank with bar oil, which was already partially filled with veggie. It did OK.
While petro oil changes viscosity from cold weather to warm, veggie does not. The flow characteristics don't change noticibly until well below sub-freezing when vegetable oil changes from liquid to a semi-liquid that still flows, but it looks different. Once in a warm saw, however, it's liquid as usual.
Speaking of this last point, Clearance mentions about veggie, "when it is hot it is not thick enough, not enough tack." In having used both bar and veggie, each for a number of years through all the seasons, I seriously question whether you need 'thick'. I even more greatly question the need for tack. What you NEED is a continuous flow of lubricant, creating a very thin film between two smooth metal surfaces. With or without tackifiers, the oil spins off the bar. That's really hard to dispute. Tackifiers are important in a great number of industrial applications, but on a bar and chain, at the high speeds we run, I think the idea of tack is more valid than the tack itself.
You can order a sample of tackifier designed for use in bar oil for chain saws (as I've done) and add it to regular veggie oil to create tackified veggie oil (as I have done). Guess what? The bar and chain stayed lubricated. Does that mean tack is necessary? Using straight veggie oil, no tackifier, the bar and chain also stayed lubricated. Does that mean tack is not necessary? I guess mebbe it boils down to whether you like your oil sticky and slippery (and trust me, tackified veggie oil is more expensive), or off the grocer's shelf and just slippery. I really don't think it matters much to the saw. All it cares is that the oiler mechanism works and is pumping lubricant when the chain is spinning.