Proteins skimmers can filter out oil, thats why they're called "skimmers", it skims away waste from water.
Just because it's marketed for "saltwater" or "fishes", does not mean it only applies to that.
You'll need a really big one with good oxygenation system that uses expensive "needle wheel" pumps that produces insane amount of micro bubbles. You can't use the cheap skimmers effectively, need to buy like the expensive ones such as "Reef Octopus Skimmer" (Commercial protein skimmers such as "Bubble Magus SK-2" costs $4K+) or simply build your own but definitely need to buy or make a good "needle wheel" pump.
The insane amount of oxygen created by the "needle wheel" pump also reduces bacterial growth which boosts oxygenation and this kills bacteria by increase of "oxidation redox" in the coolant. Basically oxidizes (destroys) any living organisms.
Same goes for saltwater, thats why you also have reefers auto-dosing hydrogen proxied in the reef tanks to increase oxidation.
I have lab grade redox sensors (they're expensive) to monitor oxygen level in water, never got to use em...
Protein Skimmer main purpose is to remove or skim away protein and wastes in the water such as fats and debris.
It's concept is also used in large wastewater sanitation treatment facilities where oil are also extracted from the waste water.
Heres more valid info about it:
"In addition to the proteins removed by skimming, there are a number of other organic and inorganic molecules that are typically removed. These include a variety of fats, fatty acids, carbohydrates, metals such as copper, and trace elements such as iodine. Particulates, phytoplankton, bacteria, and detritus are also removed"
en.wikipedia.org
An advanced all-in-one protein skimmer solution designed specifically for machining industry's coolant system could be made and I'm sure professionals will buy into it for it's automated and controlled features. I'm surprised no one has built such commercial system for this CNC/machining industry. I smell out from the coolant tank of a great successful business plan...