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The Honda VX is a winner, even the California Version. I don't have a VX, but I have considered adapting my Civic. The conversion to a 49 state version involves the items you identified. I know in the HF's that they had a different transmission for the 49 state vs. California, as well as a high altitude version. I don't know if the VX also has different gearing or not.
The 5 wire oxygen sensor, using a voltmeter or something to monitor, does seem to enable people to better know when and how the car is going into it's lean burn mode. You could accomplish pretty much the same thing with a scan gauge or similar type tool, since your fuel use would drop significantly.
The down sides are: First the 5 wire sensors are a fairly rare item and probably as a consequence fairly pricey. The prices vary anywhere from $150-$350, leaning more towards the $350.
Second, the ecu, 5 wire sensor and lean burn modes seem to be pretty sensitive to a lot more issues with engine sensors and so forth, compared to the 4 wire sensor ecu.
You could, or should, in principal at least be able to pick up the 2-4 mpg difference, or at least some of it, if the transmissions gearing is different, if you were to change those things. I don't know if their are other items the 5 wire ecu might need, as well. Against that you have to trade off the cost of the 5 wire sensor, the ecu and the challenges of getting it to all run right.
In my perspective, unless your driving a phenomenal amount of miles, or unless you just want to do it, to prove to yourself it can be done, or you get some personal satisfaction from it, I don't think the mileage improvement can be justified, from a fuel savings standpoint. From what I've read on here about the 5 wire VX's, when they work they are great, when they don't it can get pricey and very exasperating.
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