For heat transfer the k value for air is 0.024, oil 0.15, water 0.58 so antifreeze would be better than oil but would you trust it corrosions wise? But for street use do we need to even bother with oil? No doubt it would be better but is it necessary or a bit of over kill?
I have seen some with a small tack weld on the nut to hold it in place. Dont forget to put the spacers in the bottom otherwise the insert will rattle no matter how tight the nut is.
For the nut name debate the original strut was oil filled with its own piston setup so it was truely a gland nut with an O ring fitted. Cartridge style inserts are after market and were made to suit the original setup and tooling but I think they call them the retaining nut. In some shops today the young fella serving you will give you a blank stare no matter what you call it