Even if the sticker didn't indicate that the vehicle has a Katalysator I would think that year would. That "GKAT" stands for gereglter katalysator which means nothing more then "regulated catalytic converter. Before closed systems cam into mass-production they were listed as UKAT (ungegelater) due to the lack of feed-back to cntrol the mixture. So yes, your car was born with both an O2 sensor and catalytic converter.
23.5mpg is really not that bad for a 2 liter engine in a some what heavy car. It works out to 10 liters per 100 kilimeters if you use that system, not great but not all that bad. I would guess it will get a little better if you install the missing parts. It is really not a "limp home" mode but rather the system reverts to just the basic fuel map, the O2 sensor provides fine tuning to this map which is what you are missing right now. The connectors you found do sound like the ones that were used for the O2 sensor but I would check a wiring diagram before connecting to avoid any electrical damage.
The CAT itself has the bung for the sensor in the front section, so installing a CAT will provide the place for the sensor. I would not expect to gain much more than one half to one liter per 100 as that would be a good fuel consumption for a 2.0L 16v of that year (around 24-26mpg).





