The Stock NA Exhaust Manifold will have the EGR 'Port fitting' on the Drivers side.. usually the Aftermarket headers will not have this port.. The Aftermarket Headers should have a O2 Sensor Bung at the Collector of both manifolds for the Narrow Band Sensor install.. Never seen the Megans before, so I can't tell you what they come with.. the wire might need to be longer to fit in..
1) O2's Are REQUIRED.. it's stupid not to have them.. power is down, and gas millage will suck.. 2) Lots of Z's are driving around without EGR's.. yours will be just one more.. not a problem..