This is a good point. I think the "efficacy" of the additional oxygen over the amount you can achieve by shaking is something I'd like to learn more about. It truly may not be worth it for most. I wonder if there are any experiments in this forum where people have done a split, high-gravity batch with and without pressurized oxygen.
There are lots of experiments floating around regarding dissolved oxygen in various liquids and maximum parts obtainable using various methods. Two professionals that come to mind are Wyeast and White Labs:
Wyeast says you can maximumly obtain ~8ppm using a vigorous shake.
White Labs says you cannot obtain more than about 3ppm using a vigorous shake.
If you believe Wyeast then you're golden. If you believe White Labs then you're not. Oh, ignorance IS bliss!!
Additionally, there have been several experiments done using DO meters by various homebrewers with findings ranging the gamut. I think a large part of the discrepancy amongst the findings is procedural and methodology. It simply a matter of you determining what works for you - in your system - for the beer you like.
If you find you like shaking and you don't think you can make your beer better then there's no use for an O2 setup.
If you, like me, find that you're body hates you sometimes and you need to remove as much strain on yourself as possible then O2 might be for you.
If you find that after using O2 for a while you are seeing improvements in your beer and the only thing you can attribute it to is O2 then keep on it.
After reading Yeast, it really seems like the moral of the story (in regards to sufficient oxygenation) is the health of the yeast towards the end of fermentation and successive batches. Basically a 1-2 point difference in final gravities AND how well that yeast will perform when reused. I do A LOT of reusing yeast so it's critical that my yeast is in optimum health for the next batch, and that I can rely on my expectations of the yeast.