If the DMV paperwork was completed by the seller and this Hyundai Sonata is fully registered to you now then we have to assume the smog check was completed. The Check Engine light turning on now is not an indication that it was not smog checked. It is very possible for the Check Engine Light not to have been illuminated during or before the smog check, but to have turned on after the inspection.
We recommend contacting the seller to inquire further regarding any possible issues this Hyundai Sonata may have had prior to you purchasing it, and also the location of where the smog check was performed (and if any repairs were performed prior to the smog check) for future reference.