I found the Combat Zone. Went in and no one was hostile nor does a dialog menu open. I tried shooting all the raiders but I still don't get a dialog with Cait or her boss, they say something like "don't you have something to do"

Was I supposed to get a quest before going there?

Yep, it's a quest you get when wandering around Diamond city, though, I suppose, if you just 'show up' there, it should accomplish the same thing.

I've never gotten a quest to check out the combat zone.

And I went in just fine and everyone went hostile. Got Cait as a follower each time too.

Try an earlier save. sounds like you got a bug.

So many bugs.