How oil changes the taste of salads

Here are a couple reasons why (for which I know) oil is used on salads:

1. Oil caries in fat soluble aromas (often we use aromatic oils like olive oil, pumpkin seed oil, walnut oil, and so on, that are all very aromatic) and balances out other components (like vinegar or lime juice or some strong tasting veggies).
2. it adheres to the surface of many leaves/vegetables better than water/vinegar (cause it breaks into the waxy leaf cuticle), so the dressing coating gets evenly distributed over the salad, you can use another thicker substance that clings to the leafs (like yoghurt) for this purpose instead.
3. in thicker vinaigrettes/dressings it serves as a thickener, as by mixing with vinegar it builds an emulsion (like in aioli the oil usually represents the continuous phase of the traditional vinaigrette - water-in-oil emulsion, where many modern vinaigrettes reverse the ratio - oil-in-water emulsion, or use some other fats rather than oil).

And as already noted, it is not necessary for salads, you can use just lime juice (like in some thai salads), boiled dressing (that is thickened with starch), stock reduction, fruit/vegetable purees, yoghurt dressings or something else that does not require oil (e.g. I have made slightly pickled japanese salads that only required some vinegar and brine and the main aromas came from the veggies).

Also, I found this to answer "What's its effect on vegetables?":

McGee, on Food&Cooking says:

Oil seeps through the waxy leaf cuticle and spreads into the leaf interior, where it displaces air and causes the leaf to darken and its structure to collapse.