100% sure CEL works....went to autozone and its not throwing any code because no CEL.
Did AutoZone hook up a scan tool? Because to know whether the CEL works, turn the key to ON(II) and watch the CEL. It should turn on and then off after 2 seconds if there are no codes stored in the ECU.
I am pursuing this point further with you because a CEL code
absolutely should be thrown if you don't have a cat, unless someone installed a secondary O2 sensor simulator. How long have you owned the car? Some unscrupulous sellers will disable the CEL or, alternatively, the CEL bulb can burn out.