Nope. I've never changed rocker cover gaskets or oiled them up When I take rocker covers off, I just clean them, clean the gasket, and put it all back together.
I think they're referring to how you do it to an oil filter, but no it doesn't work in that way, certain gaskets and seals in an engine do require to be oiled before installed for different reasons but no not the rocker cover gasket.