but having a header with no O2 sensor is not uncommon, here is picture from an ebay auction for a '98 GSR stock header.

you can see that the bottom bracket and the flange are right on top of eachother, no room for an O2 sensor. this is how mine looks.

its an ebay link so if its dead just search ebay for an oem GSR header. there is almost always a couple on there.