The oil has benefits, but it appears there may be little of the compound they think might be helping. From Wikipedia:
Some sources claim that grape seed oil is also high in procyanidolic oligomers (also known as oligomeric proanthocyanidins, OPCs or PCOs). However other sources dispute this. Because proanthocyanidins are polar molecules which are insoluble in nonpolar liquids such as oils, grape seed oil is unlikely to contain as much PCO as other grape products like fresh grapes, grape juice or red wine. Some published independent analyses show that grape seed oil typically contains almost no PCO at all [1]. It has been claimed that many distributors of pycnogenol and related products are involved in pyramid schemes [2]. This in no way impacts its possible health benefits, of course.