Heres what my mate said in an email before I got mine done.

"A box just fools the ECU (by adjusting some sensor sigs) into over fuelling essentially – how it does it will differ from one to another. Some just raise fuel pressure which isn’t the safest thing to do for well being of pump and some extend injection period which is better for pump but can get smokey and sometimes run highish EGT’s. They’re ok though, but read some stuff on the net and you’ll find that remaps are much the preferred option amongst those who’ve sampled both."

The specs he quoted were as follows:

< 2003: 184bhp=>214bhp 409Nm=>489Nm

> 2003: 218bhp=>248bhp 500Nm=>565Nm

I went for a box in my previous car (Golf TDI) which was great. Loads of power & torque but it wasn't the smoothest of delivery and did pump out smoke quite a bit when you boot it.
What I notice about the remap in the X5 is that its a lot smoother power delivery (even from stock) and doesn't kick out a lot of smoke when you boot it.
As for it being detected, dealers probably wouldn't notice and don't really care (I actually left my box in by mistake once when the Golf went in for a service & nothing was said). The key point is if you declare it to your insurance company or not.