Don't mean to be contrary but that's not true. It has to do with how the oil is refined and whether or not all the protein was removed during the refining process. I believe oils found in American health food stores are refined differently than what you'd find in American grocery stores. Oils found in a more natural state tend to contain protein.

Also, other countries may have a completely different way of refining their oils, which is actually more likely, since America is a little over cautious sometimes. :)

Oh, here's a link regarding this information... (it talks about food allergies but also on the oil refining process)

http://www.iseo.org/food_allergy.htm