I don't have access to your owners manual, but I'v had similar experiences with other G.M. Vehicles.
Since you never set your anti-theft code, follow your owners manual's steps as if you're setting the code for the very first time. This should work, but I can't be sure if a prior owner set that code or not.
If it doesn't work, keep posting and maybe someone will know exactly how to reset it. If not, you can always go to a dealer. They can do it in 60-seconds flat.