Is Check Engine Light supposed to come on at startup?

FoxPilot

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2002 Protege5
Alright, I just bought a 2002 Mazda Protege5. It's in OK condition. It's been wrecked before and repaired (mostly). When I start it, the check engine light does not appear when I turn the key to the acc/on position (before starting it). I would assume that it should come on just like the ABS light and oil light until the car is started. Where is it even located? I'm starting to think that maybe the guy I bought it from took the bulb out so it would seem like there wasn't anything wrong with it. There were a few other things he didn't tell me about that I figured out after a few days of buying it, so I'm starting to think I got a pretty bad deal.
 
It's from a Protege sedan so the lights are green, but check engine light is in the same location:
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Ok, so I drove it for the first time at night tonight and realized that the CEL is on. It's just really dim. Too dim to see during the day. I guess I'll have to go get it scanned tomorrow. Any reason that it would be so dim that I can only see it at night???
 
bulb is going bad. its a very easy fix. look at the black trim around the gauges as if you were laying on the floor and you will see 2 philips screws take those out and pop that trim off, then there are 3 phillips screws holding the gauge cluster in 2 on each side of the bottom and 1 at top in the middle at a slight angle. (best bet is just use a stubby screwdriver on all 5 screws makes things easier) then lay a towel over the plastic covering the steering column if you dont want to scratch it. and pull out the gauge cluster (this next step is a good one to do so you dont drop the light sockets) unplug the two wiring harnesses and take the cluster completely out. then remove the light socket by twisting. the bulbs are either 73 or 37 part number i cannot remember which but both should work. take it out and get a ride to the parts store to match it up. and when putting the light back in the socket dont shove too hard as it breaks the socket and it wont stay in and you will keep having to take the cluster out and change bulbs like i did until i just went to the junkyard and pulled a ton of those sockets to fix my issue i created.
 
In case someone doesn't know, all the cluster lights come on in accessory mode for this exact reason, to show you if the lights are working
 
In case someone doesn't know, all the cluster lights come on in accessory mode for this exact reason, to show you if the lights are working

+1 many people do not know that and its shocking the 2 missing on hank 3's picture are door open (beside battery light to left) and airbag which is below the seatbelt warning light to the right of the cluster (which only illuminates for a few seconds upon turning to accessory mode, unless there is an issue) and abs (but some proteges and pr5s do not have abs so it will not illuminate)
 
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