Hello,
I like this question, because I often asked myself the same,
but never really got to think about it :=)
First: Those PE bags are lipophilic, water repellent,
so wetting of the bag will not be the reason.
I do not see the benefit of Mikes proposal, having
a liitle bit of salvia along with the supposed oil film.
Because I use to have rather dry skin (no oil or fat)
but nevertheless the trick works fine with my fingertips,
There must be some other reason.
My proposal:
Same effect as the extreme static friction of soft rubbers
(eg those silicon rubber baking mats).
The dry callus is rather rigid, slipping over the PE which has
a low friction against most materials. After soaking, the
callus becomes soft (nevertheless it feels "dry"!) and
like the anti-slip-silicon it will "clinge" to the PE.
Similar example: friction of dry/hard gummibear brand
compared to the same bear sucked on for some time :=).
To exclude that some residue from the salvia remaining
on the surface of the fingers is the agent looked for,
I just tried plain tap water: identical result.
(Contrary to Mikes theory it works with exess water as well)
Georg