It never occurred to me, but part of the trick of being able to do this is that in a mash tun the grainbed actually absorbs the oils and keeps them out of the wort itself. It's the same with mashing with chocolate when making my mole porter- People always said adding chocolate would cause the wort to be oily, but I've put pounds in the mash tun, and never had that issue with the finished beer. But in the case of BIAB, the grain, not being in a formal vessel might not be able to absorb the oils and act as a filter.
I hope it turns out for you.
I hope it turns out for you.