If the CEL light does not come on when you first switch on the ignition I'd suggest you run the instrument cluster test that can be invoked by holding the trip odometer button while turning the ignition on. It will cycle through all bulbs and gauges. This is an actual function test that's separate from check light test that's run every time you switch the ignition on. I cannot find a nice simple summary of what it does in sequence but the 2006 FSM (see link on Sir Sam's NOOB guide), which refers to this as the Instrument Cluster Self Test, (beginning on page 8J-65 and scattered thru various pages to 8J-87) does discuss what the test is supposed to do with respect to various lights and gauges on the dash. For 2005 owners the FSM, which refers to this as the Instrument Cluster Actuator Test, does not provide the same level of detail but the procedure is briefly outlined beginning on page 8J-8. Oddly the separate 2005 KJ Body manual does have more detail and refers to the test as the Instrument Cluster Self Test. Go figure.
If the light still does not come on either the bulb is bad or someone has disabled the bulb. The latter has been reported and illustrated on the forum and was done to "hide" a code on a vehicle from the purchaser, see
viewtopic.php?f=5&t=59213&p=658107&hilit=instrument+bulb#p658107 . In that case the bulb was disabled by severing power to it behind the instrument panel and the code remained stored. I have no clue if it can be disabled by a scanner; my guess is no and certainly not by anything less than the very expensive ($ thousands) DRB type scanners. If the bulb is bad the dealer will try to sell you an entire instrument cluster (like $800 or so) plus labor but the bulb itself is a very inexpensive LED that any good electrical shop can probable replace easily (I seem to recall a post to that effect). Either way you will have to pull (see
http://www.jeepkj.com/forum/showthread.php?t=26151 but note that the referenced bulbs are dash lights not the individual LED warning lamps) the instrument panel to see.