Actually my car (85 190E 2.3) does not have a check engine light, but it does have a light specifically for the O2 sensor, and that light never came on. However, the sensor was totally burnt out - it was probably original. The tech said there was total internal electrical failure because of that. Still the light never came on.
I wish somebody had diagnosed this problem one year back, since I have been having cold running problems for the last one year. And I certainly hope this is the end of those problems!