That sensor looks almost as bad as the wideband I installed incorrectly in my 03 mustang and took out on a driveway, except it was bent completely onto itself. One of my widebands has a slight dent in it, but does not cause issue thankfully.
Atleast no issue that I have seen.
As for the oil cooler location, you definitely want it to have ample clearance with regards to engine movement. To be honest, I would either have a new bung welded, or swap to a different brand of downpipe.
I wonder if the 3" downpipes even do much for you compared to a 2.5" PPE or Stainless Works? I think unleashed only sold a few sets and then stopped,
Here is a thread on them that I could find, seems others had a few issues as well:
http://www.ecoboostperformanceforum.com/index.php?topic=4701.0