Sanding gets rid of surface cracks. Pro players usually have one bat that they like/scored runs with so they might sand off the cracks, say at lunch so they don’t have to change bats during the game (that might get on their mind)You're not going to get much life out of your bat if you're oiling it on game day. Not only would it make the wood soft and risk damage to the bat it would also get onto the ball and make it easier for the fielding team to shine the ball.
Sanding the bat might happen on a more regular basis. I know during games I like to keep my 'cheries' on the bat as some sort of mindf**k to the opposition (even if most of them were on the edge of the bat). But, I don't often see cheries on professional players' bats so they must sand them down quite reguarly.