Indeed, there's no record of doping cases in the sport for some years already. The last case I found was of 2001, a male athlete who was caught in a test with an anabolic steroid. This athlete is currently active and was out for 2 years after he failed the anti-doping test. I'm not publishing his name here because I don't know the circumstances he got the substance, and he got his suspension and now is clear. Doping is such a shame and a threaten to sport (see what happens to cycling and weightlifting) and goes agaisnt the fair play spirit in which modern pentathlon was idealized. Some athletes, many times influenced/pressured by their coaches or by sponsors and wishing good results take the wrong and easy way of doping. There are also other cases like accidental doping (athlete don't know what he is taking, it can be in pill for a headache or even food) and the substances that are prohibited just for the sake of it and are not enhancing performance substances (like the "social doping" also known as recreational drugs or even substances that actually don't apply for certain sports). We can't be naive though, and it's always responsability of the athlete and his/her staff - I personally agree with the current WADA policy of penalizing (almost) every case, and how serious is the case is usually taken into account when the tribunal sanctions a suspension and I'm not trying to excuse any athlete here, just to show that are different cases, anyway I'm not a specialist in medical or legal questions and this must be told.
The first doping case in Olympic Games ever happened with a pentathlete from Sweden, in 1968 Mexico Games - he had too much alcohol in his blood. In the next Olympic Games, there was a doping scandal (check page 24) in 1972 München Olympics where 14 to 16 pentathletes failed the anti-doping test that showed tranquilizers in their bodies above the permited concentration (tranquilizer is used for the shooting event). The last case in Olympics happened in 1988 Seoul Games, when an Australian pentathlete failed the test for caffeine. All this cases had much controversy about if the limits and rules were too strict or even if correctly established or not. Anyway, any conscious use of enhancing performance is clearly a cheating, but back in the 60's and 70's not only the doping was being developed in several labs but also the rules were not very well settled. Too bad, by the way, the doping is always a step further the anti-doping methods/knowledge.
Recently many cases of doped horsers raised, but modern pentathlon is supposed to not have this problem since the horses are provided by organizers and drawn to the pentathletes (which makes the competition more balanced since in equestrian having more expensive horses can mean better horses - not to mention the management benefit because it's very expensive to travel with horses).
Surely the biggest cheating scandal in modern pentathlon was not related to doping. In 1976 Montréal Olympic Games, top Soviet pentathlete Boris Onischenko was disqualified due to an illegal modification to the grip of his épée that allowed him to cheat in the electronic record. The cheating was dicovered by a British pentathlete. Boris was banned from the sport after his cheating was discovered.