While it is a leak in your exhaust, it is located at the back of the system. It will not effect O2 sensors, so no change to MPG there. This mod is to give you a performance exhaust sound without the expense. Some folks claim a slight smell of exhaust in the car, but I'm not one of them. Lastly, if you have yearly safety inspections where you live, you will want to reverse this mod before going in since it is after all an exhaust leak.
I've had mine done for a year now and I still love it