Well you already know why you got the CEL.
You have a couple of choices, replace the cat is the legal and smart thing to do IMO. You can get a custom tune to turn off the rear 02's or get sim's for the rear 02's.
Yes it can affect mileage, the 02's are telling your PCM that you don't have cats and it's trying to readjust your fuel, timing, etc to get back in range. But it can't.