Do I need to do any welding on tti headers?

You WILL NOT get the headers installed with the torsion bar in place if you weld the slip tube.

DON'T DO IT!!!

The warning is for the guys that refuse to give engines the timing they need when breaking in. If you do it properly, the coating will not be affected by the break in period. Have broken in a bunch of cars with coated headers, never an issue.