Some of the Shimano cable kits are pre-greased. Probably a good idea with galvanized cables.
On bikes with old crusty feeling cables, I'll dribble in some Boeshield T9 to smooth the cable runs until I have time to replace them. Works okay but doesn't last long. Same with Boeshield T9 on chains. It works but needs to be refreshed every week or every couple of rides, depending on conditions and mileage.
I usually smear a little Phil's grease on my fingers and thumb and drag a new cable through before installing.
It would probably take years in most climates to see any difference between greased, oiled, dry lubed and dry cables/housings. It might matter in coastal areas.