Well there are other reasons not to, too.
Every time you remove the plug and re-torque it, it scratches and distorts the copper gasket. Eventually this can lead to compression loss. Additionally when you go squirting oil into the hole you open the possibility of getting dirt and dust in there. You
just don't need to remove the glow plug to apply after run oil.
The idea with after run oil is as beason said: the alcohol in your fuel condenses water from the air and if you don't treat your engine after a run, this can cause rust spots to form on your engine internals. The idea is to completely flush out the remaining fuel in your engine and replace it with a good water-displacing oil. I use a 50/50 mix of Marvel Mystery Oil and full-scale ATF (Automatic Transmission Fluid.) Some even use WD-40, because it is inherently a water displacing oil and have "never had a problem."

Well, WD-40 has solvents and acids in it, and even though Traxxas recommends it, I don't want solvents and acids in my engine. (This is a personal preference.)
For after run oil treatments, I put it down the air inlet only, and refer to the way they describe it on the
OS Engines site:
When you use after-run oil, 2-5 drops are next to useless. You'll need to literally flood the engine with oil, so much so that the next time you start the engine, it will be difficult. We use at least a 1/2 teaspoon of oil, and sometimes more. A 3 oz. bottle of oil lasts about a dozen flying sessions.
Although quoted in context to airplane engines, the concept is the same, if you don't completely displace the fuel deposits, it's as good as not using anything at all.
If you use half a teaspoon and crank the engine over a few times (or a good burp on the starter box) the oil will find its way into the combustion chamber just like the fuel does, through the intake ports of the sleeve. So you don't need to remove the plug. Besides, anything you pour down the glow plug hole will blow right out the exhaust port as soon as you crank it over.
Also it's important to remember after run oil is a
long term storage treatment, long term being a week or more. If you run your nitro every day, you don't need to use it. At all. The problem is, we never know when we'll be able to run next, so we do it every time just in case. It certainly doesn't hurt.
