HIAre OEM O2 sensors that much better than aftermarket O2 sensors?

Many sensors come from the same supplier, then others put their name on them. Even those built by other manufacturers have to respond the same way as those they're designed to replace. No two sensors are ever exactly the same. The Engine Computer will learn the characteristics of the new one. That occurs faster when you just replace one part at a time.

Many shops don't want you to supply parts for a number of valid reasons. Dealers want to use only factory parts for their warranty and to get familiar results. Some will gladly order aftermarket parts in an attempt to save you money, but very often they gut stung in the past and don't want to risk it again. Sometimes aftermarket, (or even original), parts have a known history that your mechanic is trying to avoid.