Headers will cancel out your primary cats ( which have the O2 sensors attached to them )
In some cases members have indicated a Check Engine Light after a few hundred miles of driving, and others have not.
I personally, and member Black M5 here in the MIddle East drove our cars with headers and stock software for many many miles. No Check Engine Light was ever thrown!
The Check Engine Light is actually the little engine symbol that lights up on your cluster, not the one that comes up on your iDrive and reduces engine power! So you can basically ignore it and drive normally with no loss of power!