Maybe the artificial ice lubricant is closer to a thick grease, which would make a mess on real ice? It may also include steel shavings, because artificial ice (by which I mean fake ice) isn't as slippery as real ice. Maybe wax would make a mess too?
I use use "3 in 1 oil", but any light mineral (non-food) oil should do. (Some food oils rot!) A very thin coat, so it doesn't make a mess on the ice either. I carefully dry out the entire blade, including mounting screws, put a drop or two of oil in my fingers, then spread the oil with my fingers on the entire surface and screws. If you think oil is yucky, use a cloth.
I doubt a thin coat of light oil on the blades will significantly affect the ice. Insignificant compared to the dirt some people's blades transfer after walking on the floor.
Drying is sufficient without the oil, if the blades are kept in a low humidity environment. And stainless steel blades and screws don't rust very fast anyway. But oil works - at least until your next skate.