Hi,
Why would you worry about the CO object if COGS is not created a cost element? Let me ask you, in your instance, which Cost Object is posted to COGS acct. at the time of delivery of goods (VL01N) for regular sales scenario?
Remember in TPS, the COGS is posted at MIGO instead of VL01N (coz there is no delivery in picture here). So, No CO object is required at either time.
Hope it helps!
Thanks,
Nirav