It might help if we knew what kind of Protestant. Do they have Confirmation with chrism oil? Are they Anglicans under a monarch anointed in a ceremony that is closed to the media?
If they're from a Protestant tradition with only the two sacraments, then, as mentioned above, the discussion above does need to reach deeper and needs to touch on difficult questions like priesthood of the OT vs. NT, the relationship that we gentile Christians have with the Mosaic laws, the historical origin of the chrism/myrrhon and the legitimacy of ritual development, etc. I suspect there's also an important discussion therein about the difference between having to do something to be saved (a suspicion inherent in most Protestants) vs. doing something out of love, in line with a broken and contrite heart (which the LORD does not despise).
The purpose for which we lovingly carry on liturgical traditions such as these is because the liturgy opens up a space, a matrix, a womb (to use the language of John Behr) in which our minds are nourished and formed by the signs and symbols and mysteries of the Bible. Without this incubation in the liturgy, the first-hand experience with its rites, the Christian is disconnected with the worldviee and mentality of those characters in Scripture and our understanding remains one-dimensional, intellectual rather than noetic. One feeds only on milk rather than the hearty meat, as St. Paul says. With only an intellectual understanding of the text and the focus of salvation being only an intellectual ascent to the text, there is constant having to translate the text into modern Christianese which risks reducing the faith to whatever fad is big in western theology at the moment. If they're only ever feeding on Christianese translations, the Christian's 'mind' remains unilluminated by the treasure-trove of Scriptural imagery, symbols and mystery. Furthermore, if the Christian is ignorant of the OT and only knows the NT, the Christian remains unable to read and speak natively the language with which God first spoke to us and which forms the very essential basis and elementary education in recognising Christ as Messiah and after that, understanding Christ.
Anyways, back to the more specific OP, consecration of temples and temple vessels is not only a Levitical commandment. When St. Paul wishes to find a place in sacred history for the saving faith of Christians, he turns to the patriarchs, Abraham in particular. Well, all the patriarchs, when they set up stone altars all over Canaan to offer sacrifice, they always pour oil on it first.