It is very important that you understand that there is a difference between the VNL visualization and the actual physics/chemistry of the structure: VNL shows bonds between atoms based on a combination of valency and nearest-neighbor distances. This is only intended for visual purposes! Only the electronic structure (as calculated with ATK after setting up the system with VNL) can determine if a chemical bond exists between any two atoms.
As zh wrote, he figures you have uploaded indicate breaking of the O-O bond and C-O bonds a the graphene defect. If you really want the O2 molecule to be intact, you should probably not put the molecule so close to the sheet. Also, remember to perform geometry optimization.
