Whenever you mess with any of the electronic sensors that feed information to the computer, you have to "tune" or "calibrate" for that, to correct the information that is being sent to the computer, or the computer may control things wrong (because it is going on bad information).
In the case of long tube headers and X-pipe, that usually implies that you have deleted the catalytic converters; and also the rear O2 (oxygen) sensors. I'm pretty sure the rear O2 sensors are only there to confirm that the catalytic converters are working; or they might help fine tune the air/fuel mix, I am not sure. But in any case, if they are removed, then the computer will be looking for the signal that it is supposed to get from them, and it won't get it, so it will at least throw a code and it might throw off the air/fuel mix.
In this case, the "tune" simply tells the computer "forget about the rear O2 sensors, you don't need them any more" (which I'm pretty sure is no problem, unless you need to pass emissions inspection, because the emissions tester will check to see that the O2 sensors are working, and if they are turned off, you fail)
So -- hopefully someone else can confirm about the rear O2 sensors and air/fuel mix -- but I'm pretty sure the engine will be OK, but you will have a "check engine" light on the dash, if you delete the cats without a tune.
If your new X-pipe has catalytic converters, then I'm pretty sure the tune is needed to calibrate for the signal from the new O2 sensors which is probably slightly different from the original O2 sensors. But again I'm pretty sure it is not a big deal, since they are only checking for the cats working correctly.