I'd take the car in for one last service before making any chances, just so you can get whatever's needed under warranty. I'm not 100% sure if a software tune will void warranty but it's better to be safe than sorry. HPFP would be the most worrying. I got "Engine Fault. Power Reduced" the day before I was planning to load my Evolve tune. Took it to a dealer and they sorted it out. Supposedly it was low on oil but I wasn't getting a message.
I'm not too sure how the COBB tune works but with the Evolve tune, you pull down your OEM tune data, Evolve modify it and then you load the revised file up. You will always want to retain your OEM tune file so I guess in case of failure, you can load the OEM file before taking it to the dealership.
2000 E39 ///M5 - Evolve Stage 3
2009 E82 135i - Evolve Stage 1
2006 Ford Territory Turbo