Why doesnt curry powder completely dissolve when heating in oil?
As Max correctly points out, curry powder is not soluble in oil.  It's basically just crushed-up seeds, and that kind of bulk plant matter isn't going to dissolve in anything.  The exact reasons why a given substance is or isn't soluble in a given solvent would be a better question for chemistry.se, but you could get a quick primer from this page.

However, the spices that make up curry powder contain chemicals that are soluble in oil.  This is likely what you're seeing in the oil from commercial kebabs.

Three possibilities:


They're heating the oil with spices in it, then filtering out the spices, leaving their soluble components behind in the oil (which would cause it to both change color, and keep some of the flavor of the spices).  This process is called infusion, and infusing oil with spices is common in Indian, Middle Eastern, and African cooking.
The spices are just stuck in/on the food.  This might be the case if the curry powder is incorporated into the meat, rather than mixed into the oil like it sounds like you tried.  This would be basically the same process as above, but the "filter" is just the stuff being fried.
It's a suspension, like Max's answer suggests.  In this case, they would have had to use very finely ground spices, then mixed them thoroughly into the oil.  In this case, I'd expect the oil to be at least a bit cloudy/gritty, as ground spices won't truly dissolve in oil no matter how fine they are.