When oil based finishes like varnish, polyurethane, Danish oil finishes, and others are applied over the wood, the finish sometimes takes a very long time to dry. All of these type of oil based finishes dry by absorbing oxygen. The natural oils and resins contained in exotic woods will slow down the drying time by retarding the absorption of oxygen into the finish. Sometimes, if you happen to get stuck with a very oil piece of wood, the finish may stay tacky for weeks.
Finishes like nitrocellulose lacquer, pre-cast lacquer, and water base finishes adhere and dry better on oily woods like Wenge. I would still wipe down with acetone.
JMHO, not a big fan of wood dust as a filler but many people swear by using that technique. I would not even consider commercial oil or water base wood filler on something like a pen but maybe liming wax to fill pores and add dramatic affest. Of course have to do a little more sanding after wax dries before using finish.
Other than that would just finish and let pores show.