The FS's OBD-II ECU throws the MIL/CEL once a sensors reading is not normal...It stays lit for roughly 200 miles or so after the last trigger tripped it, then goes out...It will come back on immediately after the reading is out of the limit again...if the sensors are tripped multiple times with in a set time limit, the MIL will blink on and off constantly, alerting the driver that a problem is occuring and needs immediate fixing...
The header illiminates the primary catalyst...The ECU moniters two ordinaray (not wide band) O2 sensors, one for monitering closed loop etc., the other (mounted aft of the catalytic converter) for monitering catalyst performance...The second O2 sensor is causing your problem...With no primary cat certain conditions will cause too high of an unburned hydrocarbon content, tripping the sensor, making your ECU think the primary catalyst decided not to function anymore...so the light comes on...
You need an O2 simulator that disables the second O2 sensor (most don't actually disable it, but keep it's reading voltage fixed at the appropriate amount so the ECU thinks everything is fine), since you no longer wield a primary cat...those are readily available and have done the trick on many a protege...Without one it is just a matter of time before the light comes on again...