Yes there is a possibility for a CEL or code. This plug will prevent faults and also prevent the connector from corroding when you replace the factory muffler.
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My recommendation would be to avoid a muffler delete. I don’t think they make these 4 cylinders sound great. A different muffler helps to increase volume while maintaining tone. Ragazzon makes one (Mercedes Benz GLA45 AMG Performance Exhaust by Ragazzon - Evo Line - Axle Back - Dual Exit)
Even Vibrant muffler makes it sound very good.

APR Exhaust System Valve Motor Delete Dummy Sensor - SA000439
SA000439 - APR Exhaust System Valve Motor Delete Dummy Sensor When removing exhaust system valve motors on various electronically controlled models, the ECU reports a fault when the motor is unplugged. In some cases this can cause limp modes, check engine lights, and issues with flashing the...

My recommendation would be to avoid a muffler delete. I don’t think they make these 4 cylinders sound great. A different muffler helps to increase volume while maintaining tone. Ragazzon makes one (Mercedes Benz GLA45 AMG Performance Exhaust by Ragazzon - Evo Line - Axle Back - Dual Exit)
Even Vibrant muffler makes it sound very good.