Hi there Ben,
You will get a more responsive engine by fitting the air filter, even without "adjustments" to the engine management.
Engine wise so far i have only put in a K&N air filter and had a custom made 63mm exhaust system fitted to my 155 2l 16 super.
I must still get around to chipping. But as it is at the moment, I can keep up with the 2l 145's, which are supposed to be slightly faster on acceleration.
To answer the original question. Most new cars have an ecu, coupled with sensors around the engine. The sensors and chip should be able to detect the air filter, by way of the amount of air flow passing through the induction part of your engine. also the ehaust emmisions are monitored by the cat sensor, which in turn adjusts your fuel mixture to compensate for the extra air. Of course if you are talking rolling road, then the answer is yes you can have your engine tuned by means of a new chip, but its not essential in this day and age.
Hope this gives you an a idea of what im on about.