Why did not O2 local shop salesman follow EU customer rules and Telefónica seconded it?

You should first look at the legal status of the store. Possible are

real o2-shops with o2-staff

Franchisees under O2-naming

Independent merchants with o2 distribution agreement, often with additional offers

Pure intermediaries

In corporate groups, it is also common to form economically separate units for consumer direct business, wholesale, OEM business and subsidiary brands. Therefore, a store is NEVER in the same business track as the online business. Or explained as an example:
If you buy a VW and then claim the warranty from SEAT, it's more or less the same situation with o2 and the stores.

By the way - Telefonica is the group parent here and you have a contract with a subsidiary, if not a distribution channel independent of Telefonica,

@kachelofen You can disagree if you wish, but regardless of the corporate status of the shop, the 14 days apply only to so-called distance-sold contracts, i.e. telephone, online, post or on the doorstep. This has nothing to do with Telefonica as a company but is a statutory rule that can be found in sections 312g and 355 of the German Civil Code. If a shop voluntarily agrees to allow you to withdraw from a contract, then this is their decision as the retailer due to a policy decision by the company. It has nothing to do with taking or not taking responsibility.

@Klaus_VoIP has explained in detail the situation regading the legal entities under Telefonica as a parent company, which is not as clear-cut as you appear to think and in any case has nothing to do with the statutory right to withdraw from a contract.