Oxygen is not a fuel. It is, as JTT stated, an oxidizer...or more specifically, an accelerant. For any sort of combustion to take place, a fuel and ignition source does need to be present. Oxygen will accelerate the combustion process.
Now, simple ambiant temperature or a flame is not all that is needed to produce combustion when the right variable exist. I saw a picture of an oxygen cylinder that was being filled at a welding supply store. Since they also provide breathing air, they used the same oxygen for the welding tanks.
The intake orifaces of these tanks are brass. The worker doing the filling had a tank with buggered up threads, so he decided to place a bit of cutting oil on the threads prior to hooking up the fill connector. It made it easier for the connector to go on, but when the oxygen was pressurized to the tank the friction that was created passing over the oriface lip, coupled with the fuel source that was present (minute amount of thread oil) the explosion that ensued completely peeled the oxygen tank apart like a squished banana. Imagine lighting a cherry bomb inside of a toilet paper roll...that's what it looked like. Luckily the ignorant operator was 50 feet away at the main fill valve.
You can also take a greasy glove, place an oxy/acetalene tourch tip on the glove, pull the oxy lever, and there will be a nice blue flame exiting the other side of the greasy glove.
Fuel (oil), accelerant (oxygen), ignition source (friction) = FIRE!
Compressed air will not do this easily, as explained before it is not pure oxygen.
Compressed air that is not clean and DRY can, and WILL, cause problems when used to charge a shock.
Compressed air that has no moisture content is fine to charge a shock with.