You are correct, the light doesn't have to be on to check for stored codes. If it stores a code, it will have shown the light at some point, then stored it until you leave the battery unhooked long enough. The fellow at the parts store might have told you that because they probably get a lot of people in there that reset the codes before they get them read, then expect the parts store guys to be able to recover them. Once you unhook the battery, they're gone. So if you are planning work on the car that requires the battery to be unhooked it is best to check for stored codes before unhooking the battery just in case, especially if it is a shared car.
Your '95 may have an OBD 1.5 system in it. I remember reading about that on a Bonneville site. It was a step up from the OBD 1, but not quite the same as OBD 2. I remember that they exist, but that is about it. I don't know much more than that about OBD 1.5 but that could be why the scanner at Checker didn't work.
You might want to check out
Club GP.