If you truely had MCLR ON and had this pin grounded, your PIC will not have run.

That statement means exactly what it says. When you're using the internal oscillator in either 4MHz free-running mode, or externally timed with an RC combination, then this oscillator stops when you have external MCLR and that pin is asserted (ie goes LOW since it's NOT-MCLR - as there's a line above it).