Water is a rather polar molecule because of the bent shape. Electricity is nothing but a stream of electrons, which readily interact with polar molecules. Also, the bonds between hydrogen and oxygen are only single bonds whereas the bonds in a Carbon Monoxide molecule vary between triple, double, and single phases (they spend more of their time proportionally in the triple and double stages).
I should point out that electrolosis is not an economical way to obtain either hydrogen or oxygen, and so it is not used in the industry for that purpose. Hydrogen is much more easily obtained by reacting an acid (such as muriatic acid, HCl) with a metal (such as zinc, or aluminum). The reason that "they" don't seperate carbon monoxide molecules is that there isn't any reason to do that. There are much easier ways to obtain both Carbon and Oxygen, and if you are just trying to get rid of CO, it is easier to just convert it to CO2.
I also thought I'd point out that oxygen by itself is not combustible and that ozone is only considered pollution because it is poisonous to mammals. Mike's mostly right about how catalytic converters work, the metal just acts as a catalyst for the CO to pick up another oxygen.
Central IL... where there are more hogs than people and more soybeans than hogs and people put together.