I agree: what a great question. The quote does not warn us about the consequences of "examination" nor what we need to "examine." Oedipus does push for truth, and in this way "examines" life, but he fails to see a more evident truth, especially in regard to his pride. He examines life in broad strokes--who killed the king--but does not sufficiently turn within until the end of the play when facts demand that he do so. Oh, then what regrets he experiences for not understanding earlier! In Oedipus, it's not a matter of an examined life increasing the quality of life but rather examining life gives Oedipus a painful knowledge he would not otherwise have. If this is worth the examination is the question this tragedy--and all Greek tragedy-- poses. Only by self-discovery does he achieve the status of "tragic hero."
This is a great question. The quote means that if you don't learn from your mistakes, and truly examine your choices and experiences, you will be doomed to make the same mistakes over and over. In other words, little meaning will come from just existing. Lessons must be learned from things that happen, how you react to them, and your ability to apply those lessons to future events.
With Oedipus, he certainly makes some mistakes. In his efforts to avoid allowing the prophecy come true, he moves away from home so that he is far from the people he thinks are his parents. I'm sure he was upset with himself later for not just going to the people with whom he had lived his whole life and asked the simple question, "Hey, are you my real mom and dad? Where did I come from, and who am I really?"
Instead, he assumed they were his biological parents, and by moving away from "home" he sets himself up to kill his father and marry his mother--the biological ones. For which, he blinds himself as punishment and wanders around for years.
Hope this helps!