Why doesn't deep frying 'wet' the food?
Firstly I think you're having trouble making a distinguishment between water and oil absorption. Even though placing food in (room temp) oil may at first seem as if it had gotten it 'wet' it's a very different kind of soaked compared to doing the same thing with water, as the two liquids have profoundly different properties.

Oil when heated, however, behaves even more differently. The immense heat of the oil (160-270 ºC, 320-520 ºF depending on the type of oil you are using) actually vaporises moisture (water) contained inside of whatever it may be you are deep frying, which is why food thermally processed in this way is oily but not wet, and can even be dry if overcooked.

The key thing to remember here is that oils, being hydrophobic and lipophilic, are exceptionally different to water and should not and cannot be expected to behave even remotely similarly.