Is it (probably is) too late to return the cedar? If there is any way you could do that, I think it would be your best bet.
Otherwise, stay with an oil finish. Oil is a natural compliment to cedar due to it's inherent oil properties within the wood itself. There is a new "all natural" product call Kramers my wife found that is just incredible stuff. I will ask the wife the website so you can check it out. I've done woodworking for over thirty years and some woods just react better to different style products.
I did a "commercial" bar top, in cedar, once for Boothby's Square Tavern in Portland Maine about 20 years ago. It is a soft wood. I mixed "Varathane" mixed with thinner about a 55/45% ration so that it would "soak" down into the wood. Gave this four coats. Let it dry THOROUGHLY. Then added 10 coats of full strength of Varathane. In the older cans was a picture of a 50's girl roller skating and their moto was "hard enough to skate on". In it's day it was without question the hardest, most durable type finish, available in gloss, semi gloss, matte, and flat finishes. The whole secret to making it durable, able to withstand a bartender slamming cases of beer on it without marring the finish, was the first coats mixed with the thinner so it got down into the wood and hardened the first quarter inch or so of the wood to rock hard proportions. That bar was in place for ten years before a new owner bought it and revamped the entire place (bought the building next door and incorporated that into the bar doubling the space and therefore totally reconfigured the layout. Ten years later that bar top was as nice as the day I built it. This particular finishing technique would work fine for you today, but due to the process it would be rather time consuming. If you have the time, go for it. It's practically bulletproof. If you have any othe questions "PM" me. There isn't much I don't know about wood after thirty plus years working with it.
I also have a PHD of the highest order in "splinter removal".