Congrats on the purchase. I only had tape on the top of my 7900GTX heat sinks. I left the tape on because the heat sink on the processor side lined up with the cpu heatsink. I thought it might be the to keep hot air from escaping at the top of the heat sinks and back into the system. It sealed off the top in other words and forces the air out the back. I've opened the system a few times to check the tape and it's not drying out or doesn't seem to be affected by the heat. I'm not sure if it makes a difference though as the 7900 runs so much cooler than the 7800.
I don't think in normal circumstances installing it per say would void your warranty. But to fit the card on a 9400, the bottom case of the laptop needs to be hacked up a bit to give room to the new heatpipe fins. (It literally takes 30 seconds, but I can see Dell not beeing too happy that you took the snips to your case!)