Concerning the O2 sensor - I don't think there is a system alert when they go bad. At least not on my 260e.
I just got rid of my '91 GW. I didn't have room for it (and you know it needs lots of room - has a big appetite too!) I gave it to my father so I would still have access to it for camping, hauling, drive-in movies, and all the other things that it is so great for. There is still no SUV on the market as practical.