I cannot tell you what I wanted to know (the difference between Oxygen and Cyanogen Mod), but I can tell you the difference between original Sense (or modded Sense) and Oxygen.
It feels very very good. It's lightning fast, super small (booting takes 10 seconds, backup/restore lasts about 30 secs), flashlight can kill your eyes while being still harmless for the diodes, many settings are BETTER placed than in original Sense bloated phone, everything is BETTER (even camera app), but few things which I list right now:
1. Cannot find creating contact groups anywhere - I know that if I would like to share my contacts with Google then few options would appear, but I DO NOT WANT TO SHARE. So I'm searching. - done - GO SMS did the job
2. My Contacts import was fine (not counting groups) but SMS import by Titanium wasnt successful and original SMS app has no import/export option like in modded Sense - probably there is workaround in GO SMS which can export/import, I'll try. Maybe GO Contacs can do the trick for groups like GO SMS for SMS. - GO Contacts did not recovered my groups, but allows to create any at least - I do not know why - I suppose that "groups" do not exist as Google's creation, it is probably additional tag which is interpreted by some software because Google's contact app still does not see any groups and disallows editing it.
3. Keyboard is bad. Small keys, no cursors. It isn't worst, but I need to change it. And no, hacker's keyboard won't solve this one, HTC's was best for me. See no alternative right now.
4. As far, I have not found SRS, but I'm not sure I looked correctly
5. No DLNA
6. No FM radio
7. No HTC Notes which is very convenient application
8. Probably no two way call recording without a patched kernel - so far it just run as a viewer, but did not started recording while call out
9. Correctly compiled commandline tools agains libresolv so wget works, but no bash there
10. Original android dialer cannot dial by letters on its keyboard - as far as I know, it should be able to do it
11. While calling, I cannot pull down statusbar which prevents me to interact with notifications - switching to the launcher fixes this, but still, this is rather strange while statusbar is visible (dialer is not full screen)
Today I can tell that this list is far too long. I will test this system more whenever I will have the time for playing around, but now, I'm reverting back to Sense. Most problematic features:
1. SRS, DLNA
2. HTC Music
3. HTC Notes
2. 2-WCR (which can be easily repaired, but I have to ask which kernel will cooperate correctly with this rom)
2 and 3 probably can be repaired too, I just have to check which apks are needed to run those (shared libs), 1 can be hard, will see.
If anyone can help and save my time and fatigue, I would be happy