If you have a chronic sinus condition along with sleep apnea, as I do, the oral devices don't work too well.
Any time I lie down, my sinuses close up and I'm forced to breath through my mouth. The CPAP pressure keeps the sinuses open, the mouth stays closed, and I breathe and sleep just fine.
I used to require an antihistamine, and maybe a decongestant, to keep the head clear so that I could sleep, but the pressure applied by the cpap machine seems to suppress the urge to sneeze and sinus drainage.
Colds and allergies can be rough on a cpap user.