Finishing depends on what you want to achieve; Surface portection (varnish, poly, lacquer shellac provide various degrees of color hardness and solvent resistance) - keeps wood dry, provides gloss, but chips & hard to repair. Oils (Tung, BLO ) penetrate & polymerize - dings & scratches don't show, and fiinish is easy to repair, Oils don't seal well. Oils blended with varnish penetrate, dry fast are harder than just oil, are easily repaired and offer some surface protection.
Rubbing the dust into the grain hides the grain. Sanding the "high spots" after each coat and cleaning the dust, fills the grain with clear finish, not hing the grain, but takes longer