If your coolant is getting into the combustion chamber on compression, you won't see any coolant in your oil. It all goes out the exhaust. However, Your check engine light should be on because the oxygen sensor should see this as an extremely lean (too much O2) condition. This ussually causes the computer to richen your fuel mixture and retard your ignition timing (loss of power).

Sometimes on an engine with a lot of miles, a compression test will not pinpoint the problem. You can pull your spark plugs and learn a lot though.

The plugs will be black on the side of the engine that has the coolant leak. So now you have all your plugs removed and you know which side has the problem. To further pin-point the leak, add one plug on the offending side. Crank the engine a few times. Now remove the radiator cap. If pressure was in the system; you found the cylinder that is leaking compression into the cooling system (and vise versa). If there was no pressure under the cap, then remove that plug and move to the next cylinder. If you get pressure on more than one cylinder, then you have a leak between them.