why is cooking in oil or fat considered dry heating?
Oil is dry heat because oil contains no water.  Wine does.

The "moist" in moist heat really means water.  In moist heat cooking, water acts as a solvent and actually dissolves much of the solid matter in the food - hence the reason why steaming and boiling tend to make food rather soft or even soggy.

Oil, on the other hand, is very rarely a solvent.  There are certain food compounds that are fat-soluble, but most are water-soluble and oil, being hydrophobic, actually blocks any contact with water, thus preventing any dissolution, and generally making the food crispier as well as promoting the Maillard reaction (which can only occur with dry heat, due to the low boiling point of water).

It may seem counterintuitive, but oil isn't wet.  It just looks that way.