Reaching the recommended stretch limits of a chain is when to change it out, however, if you do this you may not have to change out your sprockets.
Sprockets need only be changed out when they show signs of wear.
Sprockets that show no sign of wear need not be changed out. It is visibly apparent when they are shot.
The visible chain lube thing is not only a problem in the motorcycle world, but with the general public. It is a very hard thing to get used to NOT seeing lube and having the feeling that the lube is working. In reality, the places where lubricant works, or the friction points on a roller chain, are not visible to us. So, every bit of lube that you can see is a waste. The only thing lubricant can do for you where you can see it is to help ward off oxidation, and many chains in the dirt bike world have coatings to do this anyway (gold chains, etc...)
As you can see, Bryan, I have a stake in a lube company so if I try to push too far on the benifits of my lube against the others, it becomes spammish. That is why I try not to go into too much detail. However, I have explained the benifits of dry-film lubes in the past here.
Dry-film, usually uses a carrier such as a mineral seal oil, or a solvent, to carry lubricating solids to the friction points. At the friction points are microscopic asperities, or craters, in the metal. Some lubricating solids, such as molybdenum disulfate, are polar and have a natural affinity to adhere to these craters and fill them up. At that point, these solids act like magnets....they adhere to the friction surface yet repel one another and thus carry a friction load. They usually will carry a far greater shock load than petroleum film lubricants, while they will attract NO dirt or grit to help the wear process like parafin based waxes and petroluem films do.
Another benifit of dry-film lubrication is that when the carrier is carrying the solids to their home,it also serves as a cleaning agent that will clean out the asperities of the metal surfaces. Something no petroleum film does.
And finally, dry-film lubes also serve as a water dispersant. There is no need to use WD-40 or similar product when you use a dry film, as dry-films usually are very thin viscosity and disperse water easily by their nature.