The coolant circulates around the cylinders where considerable combustion is taking place and where a very great deal of heat is produced.
Oil, on the other hand circulates mainly around the crank, with some going up into the valve gear and some being squirted into the cylinders, but below the pistons. None of these places get as hot so quickly as the cylinders so the oil takes longer to warm up than the coolant which is very close to a raging furnace. The oil that is squirted up into the cylinders is only a relatively small amount, so does not heat the rest of it up when it is dragged back down into the sump by the descending piston/rings.
The heat that the oil picks up is dissipated mainly through the sump - unless there's an oil cooler as well, in which case this also helps here.
As you've said oil has a lower Specific Heat than water, thus making it easier to heat, but this also makes it easier to cool, i.e. oil 'holds' less heat than water. I had a friend years ago whose engine had a cracked block and his remedy was to fill the cooling system with oil rather than water, so that any intermingling was not harmful. Ran it for years with no problems.
Rob Graham