I had the same problem 3 years ago with me 2002 ex. I also installed full exhaust system... problem for me was the O2 sensor.. I dont think it will demage anything, but you might get bad mileage and since your light is always on.... you will never know when your engine is in real trouble... I drove like that for a year and replaced stock back on. I only have muffler tip now. I'm loving it.
If you want to ask me something, let me know. Because I kno exactally how you feel.