CO2 is dangerous. It can take the place of oxygen in the lung's alveoli, preventing actual O2 from getting respirated even if its in abundance, and thus causing suffocation. It's not toxic per se, but it does stop oxygen from reaching your blood if there's too much of it, and by too much I mean 7% or more. A concentration of just 1% will make people constantly sluggish. It's best to stick with as close to Earth's atmosphere as possible, since that's what we're adapted for.
And once again, electrolysis of minerals is only more cost-effective if you're building a big colony. As far as resources go, compressed oxygen weighs a lot less than others, and it's already standard practice in building space stations to include a little extra packaged air in everything launched. Electrolysis of solid minerals, on the other hand, also requires a lot of energy, since you have to melt them first, and enough space to process tons of moon rock. So until you start trying to make the base big enough for hundreds of people, you probably won't need it. In either case, acquiring new oxygen molecules should not be a regular occurrence. If you're not recycling your used air, then you're not doing it right. A base wouldn't need regular shipments of air to breathe, but rather only need new air to fill newly constructed rooms (or in case of emergencies).
Interestingly, getting more air to fill new rooms on Mars would probably be easier, since Mars has an atmosphere, made almost entirely of CO2. Electrolysis of gasses is a lot easier, since you don't have to melt them first.