I am not sure about the being able to feel more, but the most important reason I don't use socks is to avoid the rock boot sliding on my foot.
If you are on a marginal grip using just the edge of your sole, you don't want the boot to move at all.
This is also one of the reasons that rock boots for more experienced climbers are much more rigid than those for beginners - so you know that when you touch the rock, the rubber will grip and not bend.