Now there's a good question. It's been brought up before and I believe lube is not recommended for newer bikes as the cables are coated with something.
On my small fleet of dinosaurs all I've ever done is grease the ball at the lever. I never have found any information in the FSM on it either.
The lubricant also helps protect the cable from corrosion. A friend of mine with a 2005 Fat Boy had the cable break. When we pulled the end out it was rusted through. This may be an isolated incident, but it seems like a good idea to use oil based lube on all cables.