They go bye bye unless the aftermarket wheel has a horn built into it. Many of them do. Make sure you save the stock stuff if you ever sell the car. I'd just try finding a NIB FR500 wheel ($400-$500) or get a Redline re-cover of the stock one.
I believe its a federal thing to modify or remove safety equipment, just like emissions is federal. I could be wrong. But Federal law is law no matter where you are, doesn't matter what the state says.
Every car I have had in the last 10 or so years has been fully emissions compliant I know "technically" if the car came with 4 cats you are supposed to have 4 cats. But seeing as you can easily pass emissions these days with no cats the way modern OHV motors are tuned...
Plus I get mine visually inspected every 2 years and as long as they see a cat on each pipe they're good to go.