[BNaylor]

Unless the 02 sensor is giving odb-ii DTC error codes and triggering a SES light it is hard to tell. They can degrade to as low as 60%. Low fuel economy can be an indicator. One thing you can do is remove them and visually inspect for carbon. Your problem doesn't sound like an 02 sensor. Until the car warms up fully and enters closed loop mode the 02 sensor is really not being used.

The blueish smoke doesn't sound good and indicates oil is being burned. In a worse case scenario, you might have a problem with the upper/lower intake manifold gaskets. Check your engine oil and coolant for cross-contamination and excess consumption.

Where is the vaccum sound coming from? What part of engine?