With regard to the amount of oil left coating surfaces after the engine is turned off ...
At a microscopic level, the machined surfaces are still somewhat rough. The oil can therefore cling to these surfaces - although it will be in small quantities. Over time (weeks, months) that thin film will evaporate if it is a fairly open surface - such as the cylinder walls. That's why you can still get rust inside an engine if left unattended for a long time resulting in all kinds of other problems.
A couple of comments ...
First, do you remember the commercials where there are two engines running side by side - one has an oil additive (can't remember the brand) and the other doesn't. The oil is drained from both systems and the engines are left running. The engine without the oil additive seizes quickly. Point of the commercial is that the additive adheres to the internal surfaces of the engine and improves lubrication - I can't vouch for these products, but this illustrates the problem quite well.
Second, a more controversial subject is 'cool down' for an engine. If you've been operating under load for a long period of time you should allow the engine to return to its normal operating temperature before turning it off. Why? For a start, the normal (not synthetic) oil viscosity drops off at high temperature. This makes it 'runnier'. If you turn the engine off at high temp then you will lose some of that beneficial film of oil that is left behind in the critical areas where there are moving parts and tight tolerances. The problem is compounded because the retained heat in the engine will serve to drive off the remaining oil film by vaporization.
There are also other factors such as thermal stresses invoked because of uneven cooling - oil acts as a coolant as well as a lubricant (never mind the rest of the cooling system being turned off!). Added together, not allowing your engine to return to normal operating temperature causes as harsh a wear environment as not warming it up correctly.
This is the cause of many of the problems with engines when someone runs it hard, turns it off and then wonders why the engine has seized.