Insurance really shouldn't be an issue at all.
Yes, strictly speaking it should be classed as a modification, after all you are changing the car from standard, and therefore you should disclose it to your insurers.
Some insurers will just not be equipped to deal with modifications under their policies and will feed you a load of **** n' bull about being higher risk or something, which you will just have to swallow.
The main issue is the replacement pipe in the exhaust and I really can't see a sensible insurer wanting to charge you any more than maybe another £50 a year for the modification.
Of course, some insurers see mods as an excuse to print money, but this is one of the areas where you find out if you are with a Tom Noddy outfit or with a proper insurer.
At the end of the day, if it costs you an extra £50 in insurance or even another £100, you will more than likely save that money on fuel costs due to the improved economy.
To me its a complete no brainer.
If you need any more info on the implications on the insurance side of things PM me.