If I convert OA → O, do I still have to carry insurance, and does an existing OA policy get wasted?

On whether the OA policy gets "wasted," the honest answer is that it depends entirely on when you make the conversion, and partly on how you choose to look at it.

If you convert at the end of your OA validity period, when the OA status is naturally winding down anyway, then nothing was wasted at all. You held insurance for the full duration of a visa that required it, you were covered the entire time you were in Thailand on that visa, and the policy did exactly what it was supposed to do. Clean.

If instead you convert partway through, say in month five of your OA, then in theory you could argue the back half of that policy was "wasted," but only in the narrow sense that it was no longer needed to satisfy a Thai visa requirement once you switched to the Non-O. That is the only sense in which the word applies.

It is worth being precise here, though, because people conflate two unrelated things. Your conversion to the Non-O does not cancel your health coverage. The insurance company does not know or care what visa you are on. That is entirely between you and Thai Immigration. Your policy remains fully in force until its own expiration date regardless of your visa status, so the coverage itself is not lost; you simply no longer need it for immigration purposes. Whether that counts as a "waste" comes down to your perspective and your timing.