I have the same jockeys (oo-er) (?!)
I believe the top guide pulley has a sealed bearing, the bottom tension pulley is just a nylon-jockey-on-axle set-up (see
here)
I have had fun in the past taking the whole assembly apart (admittedly with the previous Tiagra incarnation) and cleaning and greasing. It is dead easy to just unscrew the cage (and a slightly long-winded method of removing a chain) and have a good old fiddle about with a bit of grease.
I believe the stickiness is sometimes to be had from the factory goop they put on the chain; it provides almost mythical levels of lubrication within the pins/washers of the chain itself, which like the (now long-lost) pleasure of the first fag of the day is never to be attained again. Maybe you got one that had extra/excessive amounts of it on. That, or they mistook the 'chain lube' bottle for the 'chewing gum' bottle?