I'd be interested to hear opinions on this as well. Personally I would imagine not purposefully oxygenating it. You will get a little bit of oxygenation from normal open transferring techniques. By adding Brett to secondary, you are presumably looking for that distinctive character, and you should intensify it by giving it minimal O2, just as you would when making any other Belgian beer.
As far as not seeing any activity, you generally don't always see activity in secondary, especially in a beer like a saison that already is normally pretty dry. It will likely form a pellicle in a few weeks.