You won't notice a difference in power with the splash panel off. But you are prone to losing the filter if it works loose or I suppose sucking up water under the right conditions.
Air that enters around the driving lights is ducted into the area where the air filter is and there are intake vents in front of the air dam that feed that area too. Removing the splash panel will allow that air to escape.

 

Looks like I'll keep the splash panel on and be prepared to shell it out for the header install. Thanks guys.