If I was spending the money on a custom high-hp build you can bet I am getting a custom tune with plenty of datalogs to make everything perfect. As far as common bolt-ons, unless the local shop is a nationally known 5.0 tuner like JPC, Lund, AED, so on, I would bet the remote tuners would be more reliable.
Too many people have damaged or destroyed their entire engine because the connections between the extension and the O2 sensor itself were not 100%. Regardless, they are not even necessary as the factory harness will work.
What would destroy the engine? The headers are being installed right now and should be done by this afternoon. You have me worried now.