A CEL only comes on when the computer has detected the problem, and it will remain on until the problem is cleared, even if the problem ceases to exist.
Once the second O2 sensor achieves operating temp, the "problem" is no longer there, even if the CEL remains lit. The computer likely does not change the parameters of its control algorithm based on whether it has detected a problem, so your performance should not change.
The only consequence of having a late O2 sensor is that the car can't quite get the combustion cycle into lean control as early as it would like to. You may run over-rich for longer upon startup and foul your plugs over time.
I am not sure why this car has two O2 sensors. Are you sure that one of them is not an EGT sensor? A lot of modern control platforms for combustion engines are using EGTs in addition to O2 sensors to more precisely control the cycle.
Take, for example, the Continental IO-360 in my airplane. Mixtures in piston aircraft engines are set manually during flight because of the drastically changing air pressure with altitude. As altitude increases, it is necessary to drastically lean the mixture, and since an aircraft piston engine also has to operate with NO available electricity, there's a convenient mixture lever in the cockpit. The only ECU in a piston aircraft is the gooey blob of mush between the pilot's ears
There is also an EGT gauge, and typically we set the mixture for peak EGT for best economy, or about 100 degrees rich of peak (lower temp) for best power and cooling (for example, on takeoff). These correspond to the well-known best economy and best power air/fuel ratios.
The car is no different, and under normal driving conditions, it tries to set the air-fuel mixture for best economy (peak EGT) but when you increase the throttle past some certain threshold (determined either by the throttle position sensor or the manifold air pressure sensor, or both) the control algorithm instead aims for the best power mixture (determined by the EGT temp or O2 level, or both).
I've rambled on for a while, but the point is, I don't think you have to worry about the CEL at all if it is indeed caused by a late O2 sensor. You can try installing a heat shield around the pipe leading to the second sensor, or do as was suggested and cut the pipe, but that might dramatically change the fluid dynamics of the exhaust flow and defeat the purpose of the performance modification anyway. You could also try tapping the pipe closer to the engine and installing the O2 sensor there instead.
