... You're telling me that you need air to conduct the electrical signal?
I understand what you are saying... but that makes, well, almost zero sense.
Optimally, you'd want NO wire, as any wire induces added resistance, and alters the signal being sent to the ECU. But alas, the ECU doesn't want to be mounted on the exhaust (for obvious reasons), and the ECU can't possibly be directly connected to each and every sensor - so we run wires from the sensor, to the ECU. You want as little resistance as possible in the wires, so the signal gets there with minimum distortion.
Which means you want it completely shielded, and for longetivity issues, you also want the wires AWAY from moisture (found in air) as it will cause the wires to corrode over time. Corrosion increases resistance, and you are back at altering the signal.
For an example of this, find someone with corroded battery terminals.
I'm not saying your ASE master tech is wrong, Malloynx, but I'm majoring in ECE, and what you are saying goes against everything I can think of...
Think about it.. the actual O2 sensor itself is actually contained in the end of the O2 sensor housing, which is sealed with the wires coming out of the end of it... If it were not sealed, you'd have an exhaust leak there!