The grooves do hold lubricant longer. Also, the ridges of the jewling create less friction bearing surface for the bolt to move in the action/bolt tunnel. This normally makes it much smoother to function. Holding lube usually leads to less corrosion also.
I jewel the bolts on my Ruger MKII Bullseye pistols to speed up bolts that have reduced power recoil springs installed. This reduces lock time. And yes, it looks good. For the longer throws of a bolt action rifle, jeweling a bolt can make it slide like ice on ice.
-Steve