Here is a BOSCH O2 sensor I had in my shed. I used a center punch used asa starter prior to drilling. It puts quite the dent into metal. It didnt shatter, as I believe the part you are talking of is internal to the protective metal cover seen here. I had three different type of sensors, AC Delco, DENSO and a Bosch. I had/have 1, 2 and 3 wire versions and their covers at the end, are all different.
So, I am not disputing you on the materials made, but the three types of sensors I had all have a metal protective sheaths, to protect the internal parts, which are more than likely a ceramic material. I have never seen an O2 sensor where the ceramics are exposed to the elements allowing them to break very easy during install. You can see the exhaust gas goes into the O2 sensor where the ceramic portion does its thing.
And the long portion of the senor above the nut where you tighten is where the critical parts of the ceramics are.
So, back to the original posters question as to why his is white, it is because of burnt oil.

Here is an excellent picture of there construction
http://www.sixity.com/images/012000000diagram.gif