The check engine light is supposed to come on with the other warning lamps when the ignition is first turned on, then go out in a few seconds or when the engine starts. Coming on or off when running is normal if there are faults. If the check engine light fails to illuminate with the bulb check it will not allow the truck to start (verified no spark)...Alarm and keyless entry work as normal. There are differences between your 95 and my 96 "GEMS" and if it is NAS or ROW build... It is driving me nuts and I may have to throw it on the trailer and take it down to the stealership to get an answer....