On the subject of oils:
EVOO, or any olive oil, does have some different properties from other veggie oils. I haven't experienced the "incorporating" into gravies better, but then, I don't use olive oil to make gravy, mainly because of the taste.
On the subject of gravy:
I like to use cast iron skillets as my roasting pans. The only problem is, the 12" skillets that we have are not big enough for turkeys. So, I roast in a really thin enamelled roasting pan (what my in-laws have given us). I will pour the drippings into a CI skillet. I'll even add a little stock to the roasting pan in an attempt to deglaze it, but I hate putting that kind of pan on a burner. Once I get as much of the drippings as I can into the skillet, I'll turn the heat on and caramelize the drippings. This involves cooking all the water off, and caramelizing the solids (blood, bits of skin, etc.). Once this reaches a nut-brown color, I deglaze the pan with stock. Bring this to a boil, stirring and scraping the pan bottom well to insure everything comes up. Then I strain this liquid into a gravy separater. I pour off the highly-flavored liquid, and discard the fat. Then liquid is brought back to a boil, and thickened with either roux or cornstarch. Season to taste.
Yes, this is highly complicated, and involves dirtying several pieces of equipment. I prefer a simpler method, just roasting in the skillet, deglazing that, and tightening to make gravy. I've found that removing all the little bits that don't dissolve make the gravy look better, and gravy tastes better if the fat is removed, IMHO.