Check Engine Light / MIL doesn't come on at all
 

Just bought a 2001 Allroad v6 to replace one that was recently totalled. When I went to get emissions done, it failed due to a coolant system malfunction code. No problem, I thought, because it's probably the coolant temp sensor. The gauge was working but I know one wire goes to the computer and the other goes to the gauge. I've seen them where the gauge works but the one to the ECU doesn't. So I change the sensor and drive it for a week. I should point out that about 10,000 miles ago it had timing belt/wp/thermostat/seals/gaskets/etc done, so I'm fairly confident that the thermostat isn't bad, though I guess it could be.

The thing is the check engine light wasn't on. And upon further review, the CEL doesn't come on when I turn the key. I've never run across this before. That's an LED light so I can't imagine it burned out, and I'm not aware of a way to disable it from the ECU, but I'm not sure. The wiring on the plug for the temp sensor looks fine, the engine bay is pretty clean and there's no dust/dirt/rust/rot on the car at all, so I'm not convinced that it's a bad plug. (though I know they do go bad)

So, I'm kind of at a loss as to what to do next? I really want the CEL to come on with the key like it's supposed to do, but I don't even know where to start.

Anyone have any ideas?

The LED is probably dead. They don't go often, but its not unheard of either.

(some LEDs in my headlamp switch are shot, so I can vouch for this)