Just as a reminder, the dynamic adjustments the ECU (standard or unlocked) makes are lost if the battery is disconnected for any reason. Hence the value of the unlocked ECU with which you can record the adjusted map file using the ProTune software.
True the adaptive settings are reset back to baseline if you power off the ecu for more than a few seconds, however it will quickly retune the adaptive settings next time you start the car. My car is garaged with the battery disconnected, sometimes for weeks at a time and I've never had an engine light issue.
With an unlocked ecu you can, if you like, merge the adaptive settings into the base map so it then uses a preadapted map as the baseline. For info my car is garaged with the battery disconnected, sometimes for weeks at a time and I've never had an engine light issue.
Depending on how open the aftermarket exhaust is it can require nearly all of the standard adaptation and if it goes out of range, even momentarily, it will trigger the engine light. This is then locked on for around 10 or so engine off/on cycles and if it doesn't go out of range again it will go out on it's own.
Krazy Horse have fitted a number of different exhausts over the years and most are fully OK with the standard ecu. I believe there can be an issued with the Demand Engineering "Demon" exhausts but can't be certain.
If you could find it an unlocked S&S ECU would be £500-£1,000 and the proven alternative Emerald ECU is £1,000 plus. However even on the stock ecu the engine should run OK with a suitable Stage 1 exhaust and functioning Lambda sensors.
For replacement Lambda sensors contact andy.warren@yahoo.co.uk as he can supply improved replacements cheaper than MMC. He may well have some ideas on how you can test the existing ones.
The other approach would be to swap the exhausts for stock. I have a virtually unused pair of stock exhaust pipes which you're welcome to foc if you can collect them from Sussex. Alternatively I am occasionally in Essex (nr Stansted) so you could collect them from there if the dates work.
As a last point - the check engine light is an MOT fail so it definitely would cause problems if/when you sell the car.