I've had another look closely at the photo and, although I can't see the actual O2 sensor, it would appear that what you've got is a replacement wide band sensor in place of the stock one which is feeding the auto tune unit with data. The dangling plug is the ECU connection which is not in use. What you could do cheaply is buy a small plug in resistor type O2 eliminator and stick it in that empty plug. That will put the warning light out as it will complete the heater and signal circuits. It won't change performance though. These eliminators are readily available on eBay for around 30-40 bucks. I'll try and find a link later.

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