Welcome and congrats. It seems you have done your research; that's refreshing for a change. The UP is a great place to start. The only downfall to not doing everything at once is that you will have to unbolt and drop your downpipe twice. The DP is a simple install, though, so no worries
The UP does not have an O2 sensor (this is in the header portion of the exhaust). To what you're referring is the EGT sensor. The sensor is only used to monitor the health of the UP cat, so it's harmless to remove. You will throw a CEL, but this can be fixed with the 2.2Kohm resistor fix (google this) which costs roughly $0.50 and takes approx. 2 minutes.