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Harley's run lean from the factory. Adding more air without changing the fuel will make it run more lean. This will cause an increase in engine and oil temperatures and negatively effect performance.
Most here would have you avoid the HD download because it will still have your bike running lean. There are numerous tuners available to enrich your AFR. Peruse some of the links here.
Again, to answer your question, if you add a heavy breather air cleaner you will need to remap the ECM.
I'm more of a "err to caution" kinda guy, when it comes to vehicles. IMO...get a tuner and adjust. There are tons available, ranging from mid $100's to $500. It's probably not your last mod and this way you're set for future upgrades.
If you are going to install a less restrictive flowing intake which includes a better element along with a bigger/better backing plate(Stage1) leading into the throat of the throttlebody but you leave your stock exhaust in place, NO, you do not need an adjustment to the A/F ratio via a fuel management device. Once you change the OEM exhaust out to a better system, all bets are off the table!
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