For what its worth, my 400E doesnt have a check engine light either. I dont think they came with them? Maybe other owners can clarify. I would replace the whole front pipe with an OE one. Aftermarket cats arent that durable from my experience. Either that or run pipes, although the exhaust will smell bad without the cats and the owners might not like that. It will also be a little louder.

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93 300D 2.5 Turbo, Black/Palomino 273K
09 E350 Black/Black 41K