I haven't tested a ZR1 with LPE's 750 package, but I can tell you that a pal of mine has a ZR1 with only two mods, LPE's alternate blower pulley kit and a custom calibration. The car made 620 at the wheels which works out to about 730 at the flywheel. This car has no headers and stock cats.
So, yeah, you'll loose a little power with out headers, but whether it's 750 or 730, you're going to have a hard time driving a car with that much power, anyway. It will never hook. That much power is like having a .44 Magnum for killing rodents. :L
I went for a ride with my friend in that ZR1 and it would light the tires and get a squirrelly in third gear. Scary stuff unless you're a really good performance driver. Car might have been a little more easier to drive if it had Cup tire rather than the PS2s.
I'll add that, if you are going to spring for some performance mods for your LS9, getting them from Lingenfelter is a good idea because their stuff works well.