Malcom,
I am not familiar with the circumstances regarding the DC9 flight, and can't comment on that. You've indicated that the captain stated he followed the appropriate procedures. For now, that's enough.
Your original question appears to be why the crew dons masks and uses oxygen, while it's not provided to the passengers. Let's tackle that one first.
The masks we use in the cockpit are different than the masks used by passengers. The passenger masks are designed to provide a limited amount of supplementary oxygen, which is mixed with cabin air, in order to sustain life during an emergency descent. This is the only application for the use of oxygen by passengers; during a time when cabin pressure has been reduced and oxygen is an immediate lifesaving requirement, it's provided on an emergency-only basis, for a brief period of time.
This doesn't, as a rule, do anything for a passenger during a smoke or fire situation, as the passenger is breathing the cabin air. The same acids which attack mucus membranes in the nose, eyes, and mouth, still cause the stinging and burning. The same toxic vapors enter the airway, with or without the passenger mask.
The cockpit crew goes on oxygen quite simply because without the crew being able to see and breathe, everybody dies. It's in everybody's interest for the crew to be on oxygen.
In the cockpit, we wear a mask which completely seals. It prevents any vapors, fumes, smoke, or other dangerous aerosols from entering the mask when we breathe. We have several settings on these masks, one of which does the same as the passenger masks...it dilutes the oxygen intake with cabin air in order to prolong the duration of the available oxygen.
The other two mask regulator settings, however, don't use the cabin air at all. One is a 100% setting, and the other is an emergency setting in which not only is 100% oxygen delivered, but it's delivered under pressure, forcing air into our lungs in some systems, and in others providing adequate pressure to prevent any intrusion of outside gasses.
Over these masks a pair of smoke goggles can be worn. Some aircraft also use a special inflatable hood which goes between the windscreen and the pilot to enable the pilot to see out of the aircraft even when the cockpit is full of smoke.
Bear in mind these systems are in airline and corporate type aircraft. Not all aircraft have these features. I landed in a single engine airplane a few years ago, that was on fire, with a cockpit full of smoke, and couldn't see as I rolled out on the runway due to the smoke and the burning in my eyes. I had to open a small side window to get any relief, and couldn't use it because my helmet was in the way.
You also asked about a situation involving a "decompression" or depressurization. I've experienced a rapid depressurization, though not at a high altitude, and didn't need or use the mask at that time. In most cases, it's used immediately; in my case the failure was a door seal which blew out and created a lot of noise and a pressure loss. Only a very brief descent was required, and a bigger concern was the inability to hear air traffic control due to the noise at the time. The even to occured in a corporate type airplane during a repositioning flight without passengers.
You asked about a situation involving a depressurization and a fire. This is certainly a possible, albeit very unlikely situation. In most systems, the cabin masks will drop and be ready for oxygen delivery when cabin pressure drops low enough to activate a pressure switch. This typically takes place when cabin pressure climbs through about 14,000'. When this occurs, the pilot action isn't required; the masks drop on their own.
A side benefit to a pressure loss during some type of cabin or cargo fire is that fires don't burn well when atmospheric pressure is low. In fact, at a high altitude, a loss of cabin pressure may extinguish the fire...and is a legitimate firefighting technique in rare emergency circumstances. In the very unusual case of a fire and loss of cabin pressure, the masks will be automatic, and in most cases an emergency descent will performed to a lower altitude.
We do have some procedures for keeping the oxygen on and leveling at an intermediate altitude, around 25,000', when flight conditions preven us from going lower. Such a situation might be an oceanic flight when we can't go very low (because more fuel is consumed at low altitudes), and still have a long way to go. The lower altitude is a compromise between rapid flight to the destination, fuel consumption, and safety. Also a very rare potential situation, very unlikely.
I understand your concern...passengers coughing, choking. This occurs as a result of an airway irritant such as smoke. However, dropping oxygen masks won't fix this, because the passenger will still be getting the smoke with each breath...and it's still going to attack other mucus membranes such as the eyes and nose.
The answer is to do everything possible to prevent such a situation from occurring...and prevention works well, because inflight fires are very rare. When smoke in the cabin or cockpit does occur, in most cases it's handled efficiently by crew coordination and published procedures, and ends uneventfully. Rest assured that when an abnormal or emergency situation happens, it's not the time for the crew to start trying to invent a procedure or guess at what we must do; we train for these events regularly (even though they happen very rarely). When such an event does occur, we follow our training and procedures very closely because these are the most effective, and provide the greatest opportunity to end the situation in a satisfactory manner.