The light only informs the driver as to the most efficient time to shift. It doesn't do anything to the engine or fuel injection, so if you're good, it won't make a difference. HOWEVER, the ecu's without the shift indicator light are California versions, which also don't have lean burn, and that will make a big difference on fuel economy, roughly 5mpg. The ecu you want is the P07 A00 or P07 A01. If yours says P07 L00 or P07 L01, you have the wrong one.
EDIT: I just noticed you're in CA, so I'm assuming you have a 49 state car?. Otherwise you shouldn't have had a shift light anyway.
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