During the roasting process heat starts a reaction within the bean and it begins to form gases and oil. This is natural and part of the roasting process. As the roast increases in time/temperature the natural oils that are inherent to coffee come to the surface of the bean. With lighter roast profiles, the oils are contained within the bean itself whereas the longer the bean is roasted the oils start to form on the outside of the bean. Once packaged, the oils may continue to seep out causing the beans to become shiny. This oil is natural and doesn't effect the bean, it is more of an indication of a darker roast.
This photo shows a good comparison between a medium & dark roast.