It's a supply/demand thing in my opinion. OR is sort of like a liberal arts-type major for quantitative sciences. It has many different applications from process modeling, to weather modeling, traffic modeling, and insurance, as well as to financial modeling. The point is, an OR degree is a mile wide, but not a mile deep. Thus, an OR candidate, all other things being the same, would lose out to an FE candidate for a financially intensive role--and schools are pumping out so many FE candidates these days, that employers will never run short of them (and there are 10 times as many OR's out there as FE's). Also in many finance jobs, it's not just about having raw skills. Most jobs are not like internships where they are willing to hold your hand and teach you everything from the ground up. Most OR students, while having the skills in math stats, economics, modeling and computer science, don't necessarily possess the same financial expertise as FEs. Thus, that means they will require more training, whereas an FE candidate has everything the OR has, but has already focused his learning on applications to finance.
That being said, there are tons of OR candidates that get these FE jobs, but you need to brand yourself really well, demonstrate an aptitude for financial work, and have all the right experience.