Mechanized Airlock deleting fluid

This is most likely an example of an old known problem, and has to do with if the oil has a valid place to go. Liquids will not displace gas that has no adjacent tile of the same gas (as then the gas gets deleted), so if the co2 and oxygen above it are blocking eachother, the oil gets deleted instead. one work around is adding just enough oil that the tiles above the door have a thin layer, then it shouldn't delete as it has a place to go.

Changed Status to Closed

You've already figured out what's going on. If the door closes with a packet of CO2 just above it (Materials Overlay makes it easy to see and repro), the engine tries to first displace the CO2 and O2 above the door. It fails to displace the CO2 and so fails to displace the oil. At this point the door has begun closing and so there is nothing to do with the oil but delete it.