Thank you for noticing the oxygen bug,it should be fixed now. The oxygen actually got consumed,but the UI wasn't updating.
About the other things yeah,dropped items are lost when you exit to the main menu
By closing the window do you mean closing the game? If you close the game without saving your latest upgrades will be lost.
Yup, there's still a lot of stuff to explore down below . The bottom [spoilers] right now sits at 1750 m.