I hope you get this sorted out. You absolutely do have a check engine light. However, it may not be as simple as replacing the bulb by just pulling it out and plugging in a new one. The CEL on my '02 Pathfinder, for instance, is a surface mounted bulb on a circuit board which is soldered in place. Your disconnected O2 sensor and maybe the IAT sensor would have turned on your CEL and stored a DTC in your ECM. It seems obviously, the CEL is burned out but the stored DTC's will still be there. Having replaced the O2 sensor and IAT sensor, those trouble codes may have gone away but any other issues for which a DTC would be triggered will be there. A generic scan tool is an essential item in my tool box. The one I have is more than a code reader but not a technically expensive one either. With all the work you are doing on your D21, I recommend purchasing at least a basic diagnostic generic scan tool. The one I purchased paid for itself the first time I used it. The Foxwell NT301 ODB2 scanner is what I use.
https://www.amazon.com/FOXWELL-NT301-Pr ... 00UJV3E12/ What I'm not sure of is whether your vehicle is ODB1 or ODB2. There is also a manual mode code retrieval procedure you can follow to get stored trouble codes from your ECM, without any scan tool. If your D21 is anything like my old '91 Pathfinder, you will find the ECM under the front passenger seat.