If the powertrain should fail in some way related to the TracKey installation--i.e., if the dealership determines it's the aggressive calibration that's to blame--it's only warrantied for three years or 36,000 miles, according to fine print dug up by Mustangs Daily. That's significantly shorter than the standard warranty, but it's not clear that the TracKey tweaks will increase the likelihood of engine or transmission failure.
Of course, this might actually be seen as a benefit to a lot of TracKey purchasers, because the TracKey is specifically intended for track use. Having a warranty for a tracked car is well outside the norm--many warranties specifically exclude such use.
While none of this is new to the dedicated track rat, it's important to be aware of, especially for owners new to the world of high-performance driving.