Haven't heard of anyone doing this - I'd imagine it would change the impedance of the line due to the grease filling up any air voids. Having said that, connectors used at Ku band (SMA, N, TNC) don't have air voids so this may not be an issue. Someone with access to a VNA and expendable cables/connectors could try it out?
Also, the limits placed on mating cycles are due mostly to spring tension on the leaves of female connectors. They will give a low resistance connection after the cycle limit, but there's no guarantee on decent VSWR.