The reason to have a cylinder oxygen cleaned is if you are going to use for Nitrox. Most SCUBA shops that provide air fills for SCUBA diving use a system that will clean compressed air to CGA Grade E standards. That standard allows a small amount of oil in the air, along with carbon monoxide, water and some other stuff. The oil can build up in the cylinder over time and many fills. Then when you introduce oxygen at an increased pressure you can create an explosion hazard.
Therefore you need to have the cylinder, cylinder valve, first stage regulator, high pressure hoses and pressure gague cleaned for oxygen use. When ever you use the cylinder you should also be careful not to contaminate the cylinder valve and O-ring between dives. Same with the first stage valve connection.