The two sides met in the opening round of the competition back in October with the Scottish outfit winning 29-23 at Murrayfield.
Since then however, Munster have won all of their European clashes with tries from James Coughlan, Johne Murphy, Conor Murray, Peter O'Mahony, Felix Jones and Simon Zebo handing the hosts yet another victory at the weekend.
The 38-6 win also meant Munster secured a home tie against Toulouse in the knockout stages with O'Connell particularly pleased for their supporters.
"It's an expensive business travelling to watch the team. I've no doubt that if we went away from home we'd have had great support, but it's great for the supporters now to be able to enjoy the home comforts for the quarter-final," said O'Connell, who also captained the British & Irish Lions in 2009.
"After that first round game where we played so poorly and gave up the win in a meagre way, to get that win away in Perpignan - this year, we've improved.
"We've taken steps forward most weeks whereas at times last season there was one step forward, two steps back. I think we've improved week on week this year which is great."