Also, is there a way to test whether or not an airbag is indeed installed and still functional?

Thinking of buying a new wheel off ebay, but not sure if it's worth the risk.

If a later malfunction can be traced in any way to your modification, Audi won't (and shouldn't) cover it. If unrelated, however, no problem. Thus, if you change the steering wheel and your horn stops working, or there's some electrical malfunction from the changed controls, you are out of luck. If the glove box door breaks, they'll probably cover it. And if you are injured in a crash, don't think of suing them for an airbag problem.

Even if it is OEm Euro it can still qualify as aftermarket here in the states.... not saying your dealer will give you a hard time with it, but its possible

The "real" RS4 wheel is the one in Europe. Installing an RS4 piece on an RS4 is not the same as installing an RS4 piece on an A4. If you can get the part through the dealer, it is a genuine Audi part for the specified car, and they install it, it should not void warranty.

It's not a completely voided warranty, but it's their discression.

Your key point is "and they install it". I can almost promise you a dealer isn't going to install a Euro steering wheel/airbag as that would be a huge liability.

In fact, installing the Euro wheel on your car isn't even legal as it isn't DOT approved.

If you can con a dealer into installing it, good for you. Your good relationaship with them could spare problems. However, in most cases they'll probably say no and doing it on your own could cause problems.

and you missed my point. Canadian cars are largely the same as US cars, meaning there aren't Canadian specific parts.

If you were to install a Canadian km/h cluster (which is just a Euro cluster) and you didn't install it or code it correctly resulting in other problems, your dealer could at will not honor your warranty.

You're getting into specifc semantics now, so it's more than just generalizations.