All supplemental oxygen requires pressurised gas, I don't know what you mean by that. They certainly don't need to be airtight unless you are talking about active ventilation like CPAP.Oxygen masks are used with pressurized oxygen supplies, with the oxygen either coming from a ventilator or a pressurized oxygen tank. If you're using oxygen masks, you're either too weak/sick to breathe normally on your own, or you're a fighter pilot cruising at 10,000 meters or above.
Then there is the issue of portability. Generators that provide pressurized oxygen supply are way too bulky to be man-portable, and you certainly also don't want to carry an oxygen tank while on foot patrol at 4700 meters.
Using a nasal cannula has the advantage of leaving your mouth unobstructed making it talk easier, eat and drink and so on. The disadvantage would be it limits the maximum oxygen flow rate, around 4-5L/min. With a full mask you can go up to 15.
Also, just because he has it on doesn't mean he's actively using it. It probably only gets turned on if the soldier starts getting symptoms of hypoxia. If someone needs more, you can pretty easily switch out the cannula for a mask.