The 1981 Wiring Diagrams green book shows the Lambda system has a single wire (red) temp switch connected through the gray fire wall connector to pin 7 on the control box. My 1981 B21F California 242DL has a wire from pin 7 to the gray connector but no wire out the other side (not even a pin in the connector) and no temp switch.

The engine always goes through a slightly rough idle period during warm up that is absent if the O2 sensor (single wire) is unplugged. Was my car built wrong?

Sounds like a missing wire anyhow. That sensor should be closed (putting a ground on pin 7) for a richer cold-running mixture until engine gets up to 60°. If your local weather is warmer than 60°, I guess you don't get (or need) the sensor effect.

If you have that sensor, I think it will be the lower one (of 2) in the block, below the #4 intake runner. The sensor above it is for the CIS system, and has red and blue wires, according to my old Clymer diagrams.
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Bruce Young
'93 940-NA (current) — 240s (one V8) — 140s — 122s — since '63.

Sorry if I was not complete in my description but there is no temp switch sensor either. I do have the Thermal-Time switch (blue/yellow & white wires) and the CIS temp sensor (red/blue wires) under the #4 intake. The air temperature is normally in the 50's or sometimes 40's in the early mornings.

there is no temp switch sensor either.

Maybe it was "disallowed" in California (?), since both wire and sensor are missing.
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Bruce Young
'93 940-NA (current) — 240s (one V8) — 140s — 122s — since '63.