One problem ER docs see periodically is the CO2 "sensor" can become broken in patients with chronically high blood CO2 levels, i.e. people with certain types of COPD. They only breath when their blood O2 levels are low, and if you give them oxygen they just stop breathing.
We do have a hypoxic respiratory drive, but it is exceptionally weak, and unconsciousness will occur before any noticable distress is noted.
The hypercapnia alarm response we're all familiar with is tied to carbon dioxide levels, not oxygen.
http://www.newyorker.com/news/news-desk/how-oklahoma-came-to...
Also search for “exit bag”. You’ll find instructional images, as well as an instructional video made for the sick and elderly, about using this technique to commit suicide.
I don't know why it's not universally used. I suppose it's some combination of tradition and a belief that executed criminals should suffer.
That's probably not a major asphyxiation risk unless you're trapped in a room with it, though, because, unlike inert gases like helium or nitrogen, sulfur compounds are irritating as hell - a UPS boiling its batteries will send you fleeing for the nearest source of fresh air, with eyes and nose streaming, before it'll suffocate you.