Yes, Mercury don't have an atmosphere. CO2 is small concentration in the atmosphere, but CO2 is an important component of atmosphere.Mercury has almost no atmosphere at all. Venus has an atmospheric pressure equal to almost 1000 meters deep in the ocean. If its atmospheric makeup (O2/N2/CO2/etc) was equal to Earth's, do you think the temperature would be similar, despite how thick the atmosphere is?
If both planets had equal amounts of atmosphere and one was purely CO2 and the other was O2/N2 you could do a fair comparison. What you're saying is like comparing a Ferrari and a Yugo and saying the Ferrari is faster because it's red.
From Wikipedia (Greenhouse effect - Wikipedia, the free encyclopedia):
The molecules/atoms that constitute the bulk of the atmosphere: oxygen (O2), nitrogen (N2) and argon; do not interact with infrared radiation significantly. While the oxygen and nitrogen molecules can vibrate, because of their symmetry these vibrations do not create any transient charge separation. Without such a transient dipole moment, they can neither absorb nor emit infrared radiation. In the Earth’s atmosphere, the dominant infrared absorbing gases are water vapor, carbon dioxide, and ozone (O3). The same molecules are also the dominant infrared emitting molecules. CO2 and O3 have "floppy" vibration motions whose quantum states can be excited by collisions at energies encountered in the atmosphere. For example, carbon dioxide is a linear molecule, but it has an important vibrational mode in which the molecule bends with the carbon in the middle moving one way and the oxygens on the ends moving the other way, creating some charge separation, a dipole moment, thus carbon dioxide molecules can absorb IR radiation. Collisions will immediately transfer this energy to heating the surrounding gas. On the other hand, other CO2 molecules will be vibrationally excited by collisions. Roughly 5% of CO2 molecules are vibrationally excited at room temperature and it is this 5% that radiates. A substantial part of the greenhouse effect due to carbon dioxide exists because this vibration is easily excited by infrared radiation. CO2 has two other vibrational modes. The symmetric stretch does not radiate, and the asymmetric stretch is at too high a frequency to be effectively excited by atmospheric temperature collisions, although it does contribute to absorption of IR radiation. The vibrational modes of water are at too high energies to effectively radiate, but do absorb higher frequency IR radiation. Water vapor has a bent shape. It has a permanent dipole moment (the O atom end is electron rich, and the H atoms electron poor) which means that IR light can be emitted and absorbed during rotational transitions, and these transitions can also be produced by collisional energy transfer. Clouds are also very important infrared absorbers. Therefore, water has multiple effects on infrared radiation, through its vapor phase and through its condensed phases. Other absorbers of significance include methane, nitrous oxide and the chlorofluorocarbons.