I don't have an official source. It is a supposition, albeit one based on years of fast-jet flying.
If you can offer any official evidence that there is any reason other than
PR for the Blue Angels to dispense with the oxygen masks worn as standard by fast-jet crews the world over, whether on display or on normal duties, then I will gladly retract my previous post. Until such time, I stand entirely by my comments, which I reckon to be based on firmer ground than any of these personal opinions based on mere supposition:
reduces the head weight during their High G maneuvers
Oxygen masks weigh practically nothing and don't stick out as far as a boom mike.
allows for easier head movement with greater range of motion
If the mask hose is the right length then the helmet touching the collar of the lifejacket is the most limiting factor on range of movement.
O2 is not required
Becomes a questionable assumption as soon as smoke or fumes are encountered.
I don't need to produce a reference to suggest that the flying kit designed for use in the F/A-18, an aircraft easily capable of 7g and a renowned close-in dogfighter, might be designed specifically with freedom of head movement in mind.