I believe that part of the reason that 2 micron stones are used for air is that the 0.5 micron stone is likely to require more pressure to push gas through it, and a weak little aquarium pump may not be up to the task. With oxygen, you are always starting with a high pressure source and a regulator, so getting high enough pressure is no problem. With my 0.5 micron stone on O2, I notice that after shutting the gas off at the regulator, the flow of bubbles from the stone takes quite a while to stop, because the residual pressure in the hose takes that long to bleed off through the restrictive stone.
And as far as the oxygen use goes... well yeah, if you're using a big medical O2 tank which is comparatively cheap to fill, then the per-batch cost of oxygen hardly matters. But those little disposable hardware-store tanks are like 8 bucks, and I was under the impression they only last a couple dozen batches. Still not terribly expensive, but enough that I feel it's worth being conservative with it.