My SES came on a week or so ago. When I took it to the local auto parts store to have the OBD II codes read, no codes showed up on the reader. Do I have a problem? Anyone ever seen this?

 

there is most likely a manufacturer specific code that set, not obd2 related. I suggest you have someone with a proper scan tool and the knowledge to use it read the codes for you, it may relate to the transmission.
--Dan

 

Is it just the SES light and nothing else on?
If the DSC light is also on you have a problem that won't show up via an OBD scanner.