1. not if you don't live in CA. if the hard krome you're looking at has an O2 sensor plug into it, then you're just replacing an apple with an apple and it will plug into your ECU just like your stock pipes. if it doesn't, it's not a big deal. your ECU just wouldn't be as accurate in its fuel mixture w/o O2 readings
2. you will probably lose some low-end torque if this hard krome set doesn't come with baffles, but you can add baffles or exhaust torque tubes if you are bothered by the change in the performance curve. at 2.5", you won't lose that much though. the new exhaust should give you more overall horsepower and more mid-range and high-end torque. HK makes a 3" set as well.
3. yeah they will be hotter. you can buy universal or part specific heat shields to guard your legs if you need to
4. see #2