Yeppers, the OEM manifolds do have the cats built in... and from the looks of it, the shinny new headers have straight pipe between the upstream and downstream o2 sensor bungs... and the only thing past that is the huge 26" long 2 in 2 out resonator, then the mufflers at the rear.
I'm not sure, but guessing you don't have to worry about emissions tests in Austria. But the check engine light will be on with faults stored for "catalytic converter efficiency" It would possibly cause lean mixture faults also, I've worked on a couple of E46 330i's that had lean mixture faults from aftermarket exhaust.
But some nice performance engine software would help with that, is there a dinan dealer around you? I know with other vehicles, like mustangs and the like... you can "turn off" the downstream o2 sensors to avoid SES lights after cat removal... dig deep enough you'd might find a quality programmer with that feature. Maybe the "shark injector obd II software" from this link? It looks like it might be custom programmable?
http://www.turnermotorsport.com/html...ne%20Chips#TOP