O2 Sensors are electrochemical devices that generate a small voltage that corresponds to the difference between the amount of oxygen in the exhaust and the amount of oxygen in the atmosphere. They need a sample of clean atmospheric air for a reference.
Some get atmospheric air via a vent in the sensor, but it appears these Bosch ones aim to reduce the risk of using contaminated atmospheric air by getting it from the gaps between the individual strands of wire in the cable. If you solder the strands of wire together there is a risk that by creating a solid joint and, perhaps melting the cable insulation around the strands of wire, the source of atmospheric air will be blocked. The air in the cable may also be contaminated by flux/plastic/metal fumes generated by the soldering operation.