You're 100% right about the O2 sensor - that affects only the CO and will
light the "check engine" light if it fails. I believe you do have an EGR
valve - you need somebody more knowledgable in that area than I am.

Mike

nox is caused by excess combustion temperature.

if it's automatic, it will have an egr valve, but not if it's a stick.
if no egr, check the ignition timing.  even a couple of degrees too
advanced makes a difference.  you need to short the timing adjust
connector when doing it.  if you have egr, remove the main valve & clean
it up.  the soot buildup comes off with a wooden scraper - try not to
use metal scrapers on the main orifice or plunger if you can avoid it.
also, change the thermostat for good luck [taking care to use distilled
water when diluting the lost antifreeze] and check the valve lash.

if none of the above work, it's a new catalyst for you!