It all depends on the aircraft. If there was the cockpit access system with the video monitor, and the unlock mechanism, then one pilot could have left the cockpit legally. And wearing your oxygen mask while the other pilot is gone is an FAA reg, not JAR OPS. The fact that they had called and reported a problem seems to suggest that there was in fact a problem with the pneumatics/pressurization, and they handled it completely wrong. You are completely right that the first thing that should have been done was to get on oxygen, and seriously think about decending. It will be interesting to see what the investigation discovers. Either way, it is a horrible tragedy, and a shame.