The check engine light uses inputs from the two O2 sensors - one before the cats, one after (or in between them, I can't remember). If the ECU senses that the cats are not doing their job well enough, then it will turn on the check engine light. As long as you install a good hi-flow cat, and keep the before and after O2 sensors, you should be just fine.
(Or at least that's the way I understand it).
'99 Legacy 2.5GT 5speed sedan (RIP)