One reason I've heard for the extended smoke boxes was that it trapped more of the soot and sparks because there was more room for it to swirl around and settle. Also I've heard it improved draft but that I'm not sure about. It was mostly done in the early 1900s and the late 1800s so I would have to say that it wasn't used on oil burners. We have a C-25 class 2-8-0 from the Q&TL built in 1912 with the extended smoke box. That is considered late to have that. the locomotive for anyone who is wondering is Quincy & Torch Lake Railroad #6 built in 1912 by Baldwin. Go to the link below. It is the locomotive all the way on the bottom.
-Eric