You don't need a tune or an AP to install a catback exhaust. It is advisable to replace the factory tune with a custom tune or a well tested stage 1 tune as the factory tune does tend to run lean under certain conditions, but this is totally independent of your CBE setup.
Basically, if you want a CBE installed you aren't going to hurt anything. If you install an aftermarket downpipe or full TBE you will need an accessport, tune, or some other form of engine management.
Whether a dealer could detect a non-factory tune depends entirely on their level of commitment to not performing warranty work. They could compare your ECU settings to stock settings and see differences, but I doubt they would do this unless their was some obvious signs that you had tampered with the ECU settings. Also, if you are worried about it you can save your stock tune and flash back before going in for warranty work (I use open source, I have no idea if a Cobb AP will let you save and flash non-Cobb tunes).
2009 STi - Cobb Stage 2