Adding a sports cat is taking the efficiency levels down to the point where the lambda can flag up as a fault, not always straight away but after some time.
This can be alleviated by fitting a spacer to the lambda which removes it out of the flow tricking it into thinking the cat is more efficient.
Obviously a map would be the best option as you are using the downpipe to it's best and would code out the post lambda sensor.
On a side note, when I bought my previous 8P S3 from the main dealer, it had a full turbo back milltek and never gave a cel. I had it mapped back to 2/2+ and when I took the map off for dealer work the cel came on!