That is correct that you do not have a dedicated relay, however the O2 sensor heater is powered through one of the two GRN/VIO wires leaving the fuel pump relay. Since you indicated having the Bentley, check ELE-84. Access the bottom of the fuel pump relay with your volt meter and check for B+ at RED, RED/WHT and GRN/VIO connections and for GRD at BRN/GRN connection - you indicated voltages at the sensor were correct so this may be pointless. The next check is the voltage at the appropriate DME connection. Access the BRN wire in pin #24 from the back of the DME connector harness and check for GRD voltage. It could be that there is a poor connection between the ground connection (G103) and the DME input allowing the DME voltage to float above the threshhold needed to clear the fault. Failing that, my next step would be to use your multi meter to check for current to the heater rather than just voltage.