I understand the dealership can't check codes if the Check Engine light isn't on
Sure they can. If that's just their policy tell them to fuck off.
Also, didn't the AZ guy give you the codes?
And it's a little late now, but never trust a dealership to tell you what's wrong with your car. If it's not brand new they want to replace everything to make it brand new. I one had a dealer advise me to sell my car because the cost of fixing everything that was wrong with it was more than the value of the car. None of them showed any signs of being bad for the subsequent ten years I drove it.
edit: O2 sensor codes often times don't actually mean O2 sensor. If it was only one sensor then it's a safe bet. If it was both sensors then the problem is elsewhere.