Why use embrocation versus just oil? Many cyclists apply embrocation cream to their legs in colder weather because it makes them feel warmer. I understand wanting to have an extra "weather-barrier", in the form of the oil(s) that make up the majority of embrocation. However, the ingredient that causes the "warming" feeling in embrocation cream, capsaicin, is a vasodilator. In the long run, wouldn't that lead to colder legs, seeing as it would expose more blood to the colder temperatures at skin level?

Wouldn't it be better to just use oil (without capsaicin) to get the "barrier" effect, instead of embrocation cream? Are there any studies indicating that embrocation (or topical capsaicin) improves performance in colder weather?
Interesting question! Embrocation sounds very gimmicky to me but I don't race. I wonder if the effect is like drinking hard liquour when you're cold, which a lot of ppl think warms you up. In reality alcohol is also a vasodilator, pushing blood to the surface of your skin and making you feel warmer. This is contrary to what your body is trying to do in cold weather, which is maintain core temperature. 

So arguably, vasodilation could be a good thing in a controlled and not-too-cold scenario, e.g. cycling in cold weather, where you want your muscles and skin warm, and are not concerned about hypothermia. But it's probably to be avoided in seriously cold scenarios, although at such times you're probably no longer relying on embrocation for warmth but instead full-on thermal leggings or snow pants.