Using all the oil in Chili Gumbo by aarglisi

As others have written, the oil is for the roux. In a traditional gumbo, the roux is cooked so dark that the thickening power of the flour is pretty much gone by the time the roux is 'done'. So the roux there is for flavor, which is why file powder is added later to thicken or okra is added. That recipe puzzles me since the flour is already toasted and then mixed with the oil, so I would say that you don't need to use all the oil. One thing to consider though, 1/3 cup is not a lot if you are make a big pot of this Chili Gumbo.

You can usually shade a roux to a little less oil than 1 to 1, but not a whole lot- the flour has to be completely covered with oil to avoid making dumplings. Roux is so fundamental to New Orleans cuisine that you practically have to, but if you're determined you could use, say, cornstarch dissolved in water and get a perfectly good dish. Gumbos traditionally have often used file (a powder made from sassafras, I think the bark) as a thickener in place of roux; shouldn't be hard to find a recipe.

Roux is made of nearly equal parts of flour and fat (the French use butter). That's a basic kitchen staple going back hundreds of years.

The roux in gumbo has other items, but it's basically the same concept. You are making a thickening agent for your soup base.