I believe that's the 02 sensor closest to the block. Can't remember if the vue has one or two sensors on the exhaust

O2 Sensor on 2004 VUE
 

According to Haynes, the 2004 VUE has two O2 sensors. One near the block as you mentioned goaliemo and the second somewhere on the exhaust pipe down stream of the cat con.
Once again, many thanks for your input goaliemo

Indeed, I believe it is on the downpipe.

I’ll be looking into replacing the sensor as soon as I get some time to get to it. I understand it requires a special tool to remove and replace.
As for the check engine lights, when I turn on the ignition, I see all the trouble lights for a few seconds. This eliminates a blown fuse or burned-out bulb. So I guess, I’m back to the perhaps the dealer disabling this function.
Thanks for all your inputs goaliemo

I don't think it requires a special tool?
My Ion did that as well, and it was just the fuse.
No problem man.

He's probably referring to an O2 socket, Billy. Sometimes they come in handy, but aren't always needed George. They have a slot cut in the side of them to allow for the wire on the sensor. You can just disconnect the wire, soak it with some good penetrating oil and then use a box end wrench to remove it. If it doesn't move, put some vise grips on it. It won't matter if you mess the old one up anyway. Just be sure to use the proper size wrench when you put the new one in.

Thanks for your input on the fuse goaliemo. There are two fuse blocks in my VUE. One block located inside the hood on the driver’s side. The second near the passenger side by the left knee. I visually checked all the fuses and did not see any blown one. I guess perhaps I should try to replace the one that controls the check engine light control as soon as I figure out which one. It seems to me that the controller would be a relay rather that a fuse. 50 years back, I used to repair most of my vehicles. With the vast number of computer and electronic components, I’m somewhat in a loss as to where to begin but I am learning a lot as I receive responses back from you all.

I want to say the fuse was the one that also did my front cigarette lighter/ac adapter.
I didnt realize it required a special wrench Charlie. I figured a pair of channel locks/vice grips would do.

Actually goaliemo, I have a dash cam plugged into my front cigarette lighter which is working and my cellphone charger in my back cigarette lighter which is also working. I assume this is an indication that the fuses for these devices are OK.