Actually, option-0 and option-shift-0 have different results depending on the font.
Option - shift - zero always produces "single low-9 quotation mark," U+201A, used for quotes in some languages (though it looks just like a comma). Option - Shift - 8 always produces "degree sign," U+00B0. Option - zero always produces "masculine ordinal indicator," U+00BA. The masculine ordinal indicator has two equivalent glyph forms, one with a line under the little o and one without. Some fonts have one and some have the other, but it is the same character. Of course you are right that the one with line under could not be confused with the degree sign.