Header only can cause damage. Something about fresh air getting to close to the cylinder and causing ignition at wrong times or something. Straight pipes will be fine, but it'll aside from being too loud, it'll run like crap. You'll lose all your torque, the bike will struggle and limp along under ~3k rpms.
Without the ECMSpy tune, you can get away with either a high flow air filter, or high flow exhaust. When you run both on the stock tune, you'll be too lean (more air than fuel) and will misfire a little. Shouldn't cause damage, but I wouldn't risk it.
You'll want a muffler of some kind though. They don't just absorb sound, they tune the powerband in a way.