I can't say if it's better with the upgraded sensors, but I can say I've been running the canned Trifecta tune for the past five years on the stock sensors and have never had an issue. The "Select-a-Tune" is useful--especially useful if you ever travel with the car and can't find premium fuel (Northern Italy), I have mine configured on the cruise control and I think that's a better arrangement, as most of the time I want to drive with the tune on but want to be able to control if I have full stability control or competitive mode or whatever. On the other hand, there has never been a time when I have had the cruise control engaged but thought to myself, "I really wish I had the tune active right now!"
In your place I too would skip the non-compliant parts. The closest I got to putting uncertified parts on my car was the DDMWorks Big Brake Kit, but I ultimately thought better of it. I'm not sure about Sweden, but if they notice an aftermarket, non-approved exhaust on my car here, it's coming off...not worth the trouble in my opinion.
The one thing you might consider is an E85 tune. That will net you quite a bit more power, and some years ago we did a road trip across southern Sweden, Skåne and Småland, and I couldn't help but jealously notice that just about every petrol station offered E85. I'm not sure where you live specifically, but if I were in the land of ready E85 access, I would put an E85 tune for sure!