Any shop installing these will be able to hook it all up without issue. The headers come with instructions as well. I personally agree that the whole thing should be replaced as exhaust pipe rusts out, but if yours is in good shape you don't have too.
This is not a "do it myself" project for you or anyone else asking these questions. I'm very capable and I didn't mess with it, I took it to a shop gladly.
As for the O2 simulator. The plug and play unit is on back order. You literally unplug your O2 sensors from the harness, about 6 inches from the actual sensor, plug into the URD simulator, then the simulator plugs into where your O2 originally was plugged in. Very self explanatory if you actually saw it.
Since they are having issues with getting the plugs and they are on backorder, I personally bought the universal one which requires me cutting and splicing wires. Not for the amateur. But, a shop could do it as it is basic mechanics to know how to mess with wiring. Whether they'll do it or not is another matter completely.
Yes, when your sensor makes the computer throw a code your check engine light comes on, as well as several others. You lose traction control and abs as well until it is fixed.
