I’ve never ever had an O2 sensor fail on any vehicle even with well over 300k miles. I’ve also never seen a service interval for any vehicle I’ve ever own.
I thought OBD II monitoring of O2 sensors was a lot more sensitive than OBD I so the sensor would trip the CEL before driveability became an issue.
@NYBo, it must vary from manufacturer to manufacturer. On my old Jeep ('98, so OBDII), the sensor didn’t trip the CEL until I was stalling out at stoplights. (I made a lot of friends on the road that week…)
I have never thought of pre-emptive Oxygen sensor change. The CEL to me is annoying as it is and never thought it would stay off despite a problem 
The only car I had that had a CEL because of an O2 sensor was a 95 Mitsubishi. Otherwise, I have driven them at least to 180K miles on the original O2 sensor (most of them were used cars but would imagine at bellow 60K miles the sensor was original).
OBD2 does not always throw a code for a failed/failing sensor or component
I’ve replaced many bad crankshaft position sensors which never generated a code. Yet the vehicle would not start or stall, and very frequently, also
I’ve even replaced a few catalytic converters which were simply not effective enough to pass the tailpipe emissions test. yet no P0420 or P0430. Ever. No current code. No stored code. Not even a pending code. I’m not talking about WHY that cat was no good. Because that’s not really the point