Is there anything other than Oxygen we need to consider to be able to
remove our masks?
I then take an approximate 20 kPa oxygen level as a given, and yes, there are other things to consider as well. For instance, the current temperature on Mars is about -55ºC (218 K) but varies a lot. Such temperatures are not healthy for your lungs. In the process of changing the atmosphere the temperature will certainly change, but most likely it would still be considerably lower than on Earth.
Another important factor is the level of carbon dioxide. Humans can sense the presence of $CO_2$ Already at the 1 kPa partial pressure level, 2-3 kPa causes major discomfort and nausea, and levels above 5 kPa are generally deadly over time.
Removing our masks will also expose us to small particles and dust in the Martian environment. Those particles can be considerably sharper and cause more damage due to the fact that the processes rounding and degrading them on Earth are mostly not present on Mars.
Will environment hold on to the created oxygen or will it soon be gone
into other forms not breathable or out into the space altogether?
Free oxygen is a very reactive substance, and the amount of it will shrink over time in any environment if there is no natural process replenishing it. In particular, the ground will absorb some when previously unexposed substances begin to oxidise. The solar wind is also causing atoms in the Martian atmosphere to escape, including oxygen. However, the timescale here is millions of years.
Might that oxygen have any harmful impact on the planet to harm humans
in other ways?
Harmful for who? There is no current human usage of the planet Mars, so it is difficult to predict what harm the oxygen can cause in the future. One important aspect is the still unknown question regarding the existence of life on Mars. The sudden presence of an oxygen atmosphere will most likely kill off any possible life forms, and also effectively erase any trace of previous existence. As an engineering problem, you have now also introduced rust and corrosion of metal structures.