The CVO Ultra's have what H-D calls a "high flow" air cleaner, it's just not an open air cleaner like everyone thinks about when you mention high flow. The airbox has extra holes in it to allow more air in, and the actual filter element is also different, at least on the '09 and '10 models. Yes, this isn't as "high flow" as the open filters, but it's also not as "low flow" as a standard eglide air cleaner.
With the O2 sensor system, the bike won't run any leaner then it did stock. If the system can't compensate to maintain the legally required 14.7:1 air fuel ratio, it will illuminate the check engine light, go to open loop mode, and set a diagnostic code. That is how the emission system works.
A download from Harley will only maintain the original AFR's, it won't change them or the ignition timing to performance specs. They cannot do anything that would make the bike noncompliant with the emissions regs, unless they really would like to pay some multimillion dollar fines and be forced to recall all the affected bikes. Even H-D isn't that dumb.
If you want your bike to run better (and cooler), and I assume you do if you're making mods, you need to get it tuned by a competent tuner and forget the Harley downloads. The result may not be EPA compliant, but if that idea doesn't bother you then you will be rewarded with better throttle response, driveability, smoothness, cooler temps, and most likely better power output. The download will just give you the same ol' same ol'.