I don't know of a dealer that doesn't sell/install aftermarket exhausts. The new header pipes for 2010 bikes should start showing up (Vance and Hines notably) by the end of the month. As far as warranty, make sure your dealer is up front with you about it. Most dealers, as long as they do the installs will honor the warranty. That's not to say that all dealerships will if you break down away from your home dealership. But once again, it's incumbent upon the dealer to prove that the mods you did caused the failure. Some dealerships will install aftermarket exhausts prior to selling a bike, but now a lot of dealers, mine included, are getting away from doing that due to the possibility of hefty EPA fines for tampering with an EPA approved motorcycle. (What the customer does to his vehicles after the sale, holds the dealership blameless I guess.) Almost every one modifies their exhaust one way or the other after they buy a Harley. The decision is yours once you purchase the bike.

Depending on what parts the dealer installs, and when he installs it (before or after delivery) will determine how he will honor any "warranty".
If you have a good relationship with your local dealer, you will probably be ok.
Be aware, all dealers will have a "loophole" to deny warranty on any part listed "for race use only" or "for off road use only", etc. etc.
I guess going to the extreme, can you PROVE that your "race use only" mufflers were NOT the cause of your pistons melting??? See what I mean? It would be up to your dealer and if he goes to bat for you. If you had "good intentions" with your mods, and dealer recommended them, I would be more comfortable.
Others, like me, have the attitude FTW, and proceed with what we want to do and suffer the consequences/rewards.
Like you said, depends on what kind of relationship you have with your dealer, some are pretty outstanding! (Did I say that?)