[davelobi]

You should have had the check engine light lit on the dash with a disconnected/inop O2 sensor. Did the light go away with the new one installed. It is possible there was no preformance gain because even the new sensor isn't doing its job. Could be an open circuit between the sensor and the computer tht reads the values from the o2 sensor. The chec engine code would likely give a hint to the problem such as "out of range", "voltage low", "open circuit", etc. I don't know Honda codes and their verbage but easily looked up. I also don't know Honda well enough to say that the bad o2 sensor would keep the engine running in open loop but I suspect it would.
Your mileage wasn't bad and remember we are now pumping winter formulation gasoline in our cars and economy will drop slightly for that reason alone. Not to mention in the cold weather the engine may be left idling to warm up the car and will take longer to get up to efficient operating temperatures so it can go into closed loop.