Originally some of the processes for making O2 could result in residual water content. Even today O2 manufactured on site is made from a very different process than the medical and welding product you buy from BOC. It is cooled to -200 (ish) in the process so any water will have dropped out as ice.
The big thing you get with medical O2 is that it has been tested so there is (almost) no possibility of having been mis-filled or having contaminants in it. In the 3rd world this is a real risk, in the UK it is a very remote theoretical risk.