All 4 must be plugged in to run properly.
On the 2001 the first two must be screwed into the exhaust. The second two you might be able to get away with not having them in the exhaust and simply plugged in, but you'll throw a CEL420 and 430.
Sounds like you got the early 986 2.5 headers. Are the flanges (Triangle ones) flat edges or kinda rounded? Can you post a picture of them?
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When I set my timing, why do I flush, then pee?
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