it will affect the warranty. the tune may be covered by ford but the aftermarket parts are not part of their calculations for durability on the other factory parts when you add beyond what they offer from either factory or Ford accessories from their parts department
Keep in mind - they need to be able to prove that what you've done (modifications) either directly or indirectly caused a failure. For example, if you have your engine tuned and your water pump bearing fails - that would be really hard for them to decline a warranty claim. However, if you're tuned on E85 and running Meth injection and Nitrous, and end up blowing up a transmission - they could say the failure was related to all the extra power you're now making.
I had an intercooler, upgraded waste gate actuator, intake/exhaust - and had an engine failure (head gasket failure between cylinders 2 and 3 - not an uncommon issue on the 2.3 eco) - They covered a new replacement engine - and that was under the extended warranty (3.5 yrs old with 62k miles) - it just cost me the $100 deductible