Do I need to leave Thailand to apply for a non-O visa?

Just a few unknown details.

To apply inside Thailand for a new visa, you must meet the requirements and NOT all of the over 80 Immigration Offices have the permission to issue visa.

The question now is:

Does the office you visited have permission to issue a visa?

Did you meet all the requirements, like entered with a Visa Exempt Entry OR Tourist Visa, did you have enough days left as this application goes under consideration?

IF an Immigration Officer told you to go abroad to apply, I'm almost certain that the answer on one or even both questions is NO

It depends. Not every immigration office allows you to apply for a Non-O inside Thailand. Even for those that do you need a minimum of 15 days left on your current stamp (21 days in a few places)

Its not that surprising to apply for visas in a embassy or consulate in general. But some you might be able to apply for in country, depending on the IO and the style of non-O

Well.. That depends on what kind of non o, and where you tried to get it. For a marriage non o for example, only some immigration offices will sell that in-country.

Some immigrations don’t do Non O in country. Where was this?

Who told you ?