I would not drvie the car too much missing that plug. My Hotshot header had 2 ports, one for the egr (plugged) and the other for an O2 sensor. They should sent you a plug for the second sensor, running the car with a hole in the exhaust that close to the head could burn a valve.
Otherwise you should be fine except for the check engine light. It will only trip the light if you are at anything except wide open throttle. So, if you don't like the light, drive around with the throttle mashed to the florr <img src="http://www.zilvia.net/f/iB_html/non-cgi/emoticons/smile.gif" border="0" valign="absmiddle" alt='
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