I have both the milltek exhaust and the milltek manifold with sports cat. At the time of fitting my mate just unbolted it and put the new set-up on. No lights showed up no faults registered etc etc. If this happens with a manifold with a cat fitted then theres something not right, either with the car or the sensor. Any vehcile still running a cat should not get o2 sensor issues unless there is a problem or a fault on sensor. If you remove the cat then yes the o2 sensors will register and issue despite the car being fine in real life.
If you have a catted manifold and this light is on try a new sensor and resetting the fault code on ECU. Or if this doesn't work then theres an issue with the cat iself possibly.
No-one I know with a milly manifold or JCW or MINI mania or GTT who has left the cat in has had lights on afterwards, unless they had a dicky sensor. They may have got it for a bit but its reset itself, or if reset manually its never returned. It should not just stay on even after resetting....unless the sesor is bust or there really is a fault on car/cat.
The alta exhaust has had fitting issues ... because of having only 1 back box/hanger set-up. The milly is fiddly but seems to regularaly be the best exhaust for power. The Janspeed and GTT manifolds are better than Milltek, mainly as more versitle with decat option (for track only
). but the milly does perform well on road and rollers as a cheaper option