Nothing wrong with the combo. Something is wrong in the EFI I suspect. The Delphi's do not have a dedicated barometric sensor like the Magnetto Morrelli does. It uses the MAF sensor during computer boot to determine altitude after that, it remains set until the next start.
Does the bike run correctly at your normal elevation? When you climb from there to altitude does it run better after a re-start? If so, then there is something wrong in the EFI i.e. the MAF or possibly the TPS is off. Has anyone done a full diagnostic on the sensors, one at a time or just relied on the scanaliar?
An EFI bike will run smoothly at any altitude unless there is a problem with the sensors or the ECM. An intake leak can cause problems but it is usually the reverse as the bike has no idea it is lean. Or, they may have played with the idle mapping?
Since, I do not find them listed as a Power Commander tuning center, I wonder how they are determing the mixture? They may well only have a Dyno and are using the best guess method.
Here is a link to the authorized tuning centers in Arizona:
http://www.powercommander.com/centers_az.shtml
I would contact a couple and see if any offer the HRT tuning. If not, consider returning the ECM to stock mapping, add a power commander and have it run on the dyno to tune.
There is nothing wrong with a Thunderheader. With certain combinations, they exhibit more reversion than other 2-1's do but not an issue most times. Sounds like a B.S. excuse to me.
I definitely would have the dealer do a full sensor diagnostic manually. I have a sneaking suspicion that either the TPS (Throttle Position Sensor) is bad or needs adjusting or the MAF (Mass Air Flow Sensor) is defective.
http://www.powercommander.com/centers_az.shtml