I see no reason to need, nor do I see any benefit in having a non-stock header if you have the stock exhaust can on the bike.
You may benefit from keeping the EFI unit in order to perhaps eliminate a touchy throttle spot in low range, but generally speaking I don't see much reason for even that other than you already have it attached.
You may want the AIS system back on bike as it's there to provide some assistance on protecting the stock exhaust from backfires and pops which may damage the catalytic converter.
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2008 WR250X
Gearing: 13t - 48t
Power Commander 5 / PC-V
Airbox Door Removed - Flapper glued - AIS removed
FmF Q4
Bridgestone Battlax BT-003rs