I have 00 Accord with OBX-R headers, and it does come with O2 Sensor position, except for the harness extention to the bottom of the car. I ended up cutting up highquality heat sheild wires and ran a line down there. It works fine and plus I even passed smog check with out the CARB code on the headers (lucky.)
As far as DC's headers, they claimed that they are street legal, so I assumed that it should come with O2 position. What is the model of your header? I might be able to look it up.