If you want depth or antiquing, you'll want to use a darker coloured polish. Personally, I've never used lighter-than-shoe cream/polish long enough (without cleaning/conditioning in between) to know if the colour changes, but with the buildup of product on leather, I can imagine a change in tint to a lighter colour.
I prefer to use lighter colours. Nothing adverse will happen from a few uses. Using darker coloured shoe cream will make the leather darker. Using a lighter coloured shoe cream may make the shoe look a little lighter over many uses and time. But if you're cleaning/conditioning regularly, this shouldn't be an issue.
Personally, I believe Lexol's leather conditioner leaving a greasy/oily residue is the whole point of the product. Just like a hair conditioner, it's bringing back necessary oils and nourishing the leather. After an application, the conditioner is absorbed into the leather; there is no residue remaining.