My guess is that since it's a part that is supposed to fail and should be replaced, then they probably won't cover it. The good news is that it's cheap and relativly easy to replace.
Not true. The used 2003 Hyundai Accent my wife and I purchased for her mother had an O2 sensor die back in March of 2008. The car hadjust under 45K miles and was about 3 months away from being 5 years old. Not only was the O2 sensor replaced for free but they found the flex pipe in the exhaust was leaking (unknown to us) and they replaced that for free as well.