Wouldn't a motor filled with oil run hotter and be less efficient if it was pushing that oil around? Plus, oil is not a very efficient cooling fluid. I would think that a motor like the Z-force type would be much better cooled if it could be surrounded by a water jacket with the anti-freeze/water mixture cooled by a normal radiator. (You probably wouldn't need a fan, but would need a small electric motor to circulate the coolant.)
Run hotter, no, the opposite.
Less efficient, yes, by a very small margin.
Internal oil cooling in present in some of the most power dense motors, like Mission and Rimac motors.
Less efficiency would come from oil friction inside the motor, which only depends on the "smoothness" of the rotor.
Example of smooth:
http://remyinc.com/docs/HVH410R2.pdfNot smooth:
http://www.ewh.ieee.org/soc/es/Nov1997/09/B_8POL1.JPGWhy internal oil cooling instead of water jacket? Shorter thermal path and the possibility to effectively cool the rotor.
PS- Rimac motors use both, internal oil cooling AND water jacket