From an engineering point of veiw, I would think that for gaskets that involve a turning part to tighten on them like a oil filter gasket then you would have to oil it so that the gasket does not pucker or mishapen went being twisted on.
But for a gasket that you are fastening a fixed part too. Like a valve gasket, then I would say it would need to be dry.
If the gasket in this case is oiled then there is a chance that when it is tightened upon by the valve cover, there could chance that it would slide/squeeze to some extent away from the joint. And maybe leak a bit
Sounds logical aye