On the new 2020 and on models, the DPF datta logger got integrated with the gauges, hence why they won't work with the thing unplugged.
As far as the lights go, it will always keep the lights on because the DPF is gutted and differential pressure it's not what it needs to see. It won't cause any issues other that me be annoying keep watching those lights on in the corner of the eye, at least for me it would.
One way to get rid of those lights could be by figuring out the pin out for the plug/connector in the back of the dashboard, unpin those pins for those lines and isolate them.