Whether or not Maiar can sense each other's presence is immaterial; even if they could, Sauron would not be able to sense Gandalf.
From the Istari material in Unfinished Tales we read:
...their emissaries were forbidden to reveal themselves in forms of majesty...
...his joy, and his swift wrath, were veiled in garments grey as ash, so that only those that knew him well glimpsed the flame that was within.
...being sent back from death for a brief while was clothed then in white, and became a radiant flame (yet veiled still save in great need).
It should therefore be obvious that Gandalf's "angelic presence" (for want of a better term) was concealed, and it should likewise be obvious that this is as a result of the nature of the Istari.
The Istari, of course, are not Maiar as they would be in Valinor, but are instead incarnated in real Mannish bodies (hence the fact that they could be killed), and it's crucial to understand this difference.
And so hence the fact that Gandalf would not be detected (even if such detection were possible).