The CEL won't come on immediately. It will not come on until the cat monitor runs. The cat monitor is a program in the PCM that compares the readings of the front and rear O2 sensors, but it doesn't do it continuously. The cat monitor is the last monitor to run and certain driving conditions must be met first. It may not come on for a couple of hours or it may take a few weeks.
So if your car is a 96 or newer so that it has OBD II, the CEL will come on, it just may take a while. If your car is a 98 so that it does not have OBD II, the CEL will not come on.
