Both people you have talked to are misinformed or idiots.
Muffler shop first- It will not throw a CEL due to the dump pipe. The sensor in the dump pipe in the NM35 is a Narrowband O2 sensor that allows the ECU to add or trim/add fuel on light throttle applications. Changing the dump to a more efficient unit does not change the effectiveness of this sensor, however you will have to remove it from the factory unit, and replace it in (Scottys) after market dump pipe.
Mechanic - while being correct about it not throwing CELS, he is incorrect, as compliance shops do NOT change the dump pipe during the compliance process. They change the catalytic converters to more efficient, newer (and probably more restrictive) units. They may add extra cats too. To my knowledge the NM35 does not have catalytic effectiveness sensors like the V/PM35/z33