The ECU only checks the oxygen sensor under specific circumstances. If it doesn't get to check the sensor, it can't tell if the sensor is dead.
According to Todd Day of Technomotive:
" Your car must undergo a "cruise" session above 45 MPH for 30 minutes or two "cruise" sessions for 20 minutes (depending on [model] year) before the ECU will flag a dead O2 sensor. At least for the 1Gs - this probably got a lot tighter for 2Gs. This is why a lot of people won't ever see a code get thrown for O2 in their daily commute driving."
The best way to determine if an O2 sensor is dead is to monitor it with an air/fuel (A/F) gauge.