There was a rumor a while back that some of these South Korean internet cafes were putting low doses of mood enhancing drugs in the air so that people got depressed when they left, though I'm pretty sure that was just an urban legend.
Reminds me of stories about casinos who pump additional pure oxygen into the air to make gamblers feel "more alive and awake" while they're there (and thus experiencing a low when they leave).
I could be wrong but I believe the purpose of oxygen in casinos is purely to help people play longer without getting tired, thus losing more money that way.