Is it a risk to put on aftermarket pipes without a tune?

I have vanemon exhaust on my 25 rocket gt. One sensor. I do not have tune. The bike works flawless and no lights. Feels like more snap in throttle and pulls hard. I did not go for the header as I think that may require a tune. I will be looking at the BT ECU Tune.
 
 
I have the 24 storm..two 02 sensors and wanting to fit vandemon slip on..apparently after fitting service light or engine management light comes on as cat removed..and a locked ecu..what a pain this bike is just for a better sound..
Have you read the codes to see what is happening?