“O” in the sense of “O my queen” or “O my Jesus” is an old form of address called the vocative. Some other languages have an entire case for it, English does not. It’s not an expression of surprise, and some people argue that when “O” is expressing surprise or shouting to someone in the next room, it should have a comma after it, like “Oh, John!” instead of “O John” which is vocative address.
Nowadays it’s primarily associated with/ used in older English writings, such as the KJV Bible, “Pilgrim’s Progress”, Shakespeare, or writings that are trying to imitate old English speech like stories of Knights of the Round Table, etc. I associate it with old prayers and old hymns since there are so many that contain the “O my Jesus” or “O Mary” etc. To me it’s poetic.
I’m not sure why it would bother anyone, as the only impression it gives me is that I am making a very traditional invocation to Jesus, Mary or the saints. I certainly don’t get how you think of a simple “O” as “bland and vain”. However, CAF has shown me that for every little thing in the Catholic faith that I take for granted, there’s going to be somebody who’s bothered by it or wants to do it differently.
With respect to using it in the Rosary, it is not in the Our Father, Hail Mary, Glory Be, or Creed, and only appears in the Fatima Prayer, Hail Holy Queen, and the ending prayer “O God, whose only begotten son…” so presumably you can either say it for those short prayers or just skip the “O” if it really bothers you, e.g. “My Jesus, forgive us our sins…” instead of “O My Jesus, forgive us our sins”. However, if you pray with a group, they’re going to say the “O” because most people don’t give this a second thought.
