Should I break the bike in before I throw aftermarket exhaust and stuff at it?
Nope, you can do those two things fresh from the dealer and not void your warranty...you can even have the dealer do it for you if need be.
A lot of times dealer throw in a gift card/incentives or "Harley Bucks" which you can spend on add-ons before you even take delivery of the bike...sort of a sales pitch, bargaining tool type of deal.
Well I don't ask from a warranty point of view, more of a letting the engine break in before I throw power at it. Also, I don't buy from my local dealer because they won't give me a discount and I can get 20% off + no tax from out of state dealers.