Are "of the order of n" and "Big O" the same thing?
"On the order of" is an informal statement which really only means "approximately". Big O notation is a precise mathematical formulation which expresses asymptotic behavior, not approximate values of a function (e.g., $10n \in O(n)$, despite $10n$ being 10 times as larger as $n$). They can hardly be considered the same things. What the lecturer is trying to do here is supposedly give you some (hand-wavy) intuition as to how Big O notation works, but that should not replace you actually sitting down and learning the precise definitions.

As for your request regarding further reading on Big O notation, (in addition to the linked Wikipedia article) I suggest you take a look at our reference question.



An addendum: After listening to the video again, you can make out the lecturer say "of the order of $n$". This is the British English version of American English "on the order of" and carries the same meaning.