There's the school of thought that believes in using oxegen as a recovery technique and there's the one which believes in oxegen starvation for recovery.
I think that in order to get clients coming back sooner, they serve oxegen to replenish muscles. Using altitude training techniques, muscles are starved of oxygen, forcing them to work more efficiently.

Oxygen starvation is an advanced training technique and should be done with trainers. It usually involves living in a hypobaric chamber and all sorts of stuff.

having oxygen after a workout wont do any harm. less harm than inhaling helium from a party balloon. But dont smoke after it.