Regarding CA Emissions, the word is that many with the Euro and EGR/O2 relocation can and do pass tailpipe smog tests. That info is based on a shop here in Norcal.
Note that the cats in the headers are for cold start emissions (closer to the engine, heat up quickly). Europe isn't a cat free zone, and they do care about emissions, so running the "secondary" cats may indeed be sufficient. The "secondary" cats are, as far as folks have been able to tell, the same cell count and size as the Euro, and are the "primary" and sole set of cats in Europe.
Regardless, in CA, the tailpipe test is to be replaced in 2013 by an ODBII readiness check, so the rules have changed. Things changed with
AB229, section 44012.
This may mean that as long as it looks stock (Euro headers, not coated), it may very well pass the visual check assuming they don't go looking at the secondary cats that closely and notice the EGR and O2 relocation. As long as there's no CEL or other emissions related codes stored in the ECU, and if I'm reading AB229 (and CARB's interpretation) correctly that should be enough to pass emissions.
Of course, it may help to know a shop that isn't going to get out the magnifying glass and start looking for things and will rather focus on "plugging in the computer and checking for codes" rather than searching for those relocation markers.