1) the check engine light would remain on at all times
2) some shops have been able to make this work, others have not. The stock ECU is not designed to operate w/o an O2 sensor, so there is no guarantee or consistency that it will work. See this thread for more detailed explaination:
http://ducatimonsterforum.org/index.php?topic=655.0Engine light is only on for 07+ bikes, (does the 06 S4R have an O2 sesnor? im not sure) The light cannot be shut of, most people just throw a piece of tape over it, or go inside the gauge and kill te light completely.
2) The stock ecu works fine without the O2 sensor, otherwise it wouldnt work if you unplugged it. I know from experience that the O2 sensor when removed from the S2R1k will have absolutely no problem. The only thing you need to do is reset the ECU by removing the battery and leaving the bike in the ON position for a 30 seconds or so. If u unplug the o2 without resetting the ECU, the bike runs pretty rough and will shut of randomly.
however i still dont know why not all ECUs behave the same way with PCIIIs, as Cdawg said, PCIII works fine with some, and not so good with others.