I plan to use a seperate set of wheels / tires for winter season, "IF", I don't install
the the tire pressure monitors on this second set, will I have a problem with
warning lights going off on the dash, or will it just simply not read anything and no warning lights ?

 

sounds like a question for your service rep...
But, since you have that nice option, then why not spend the extra for the monitors for the second set of tire sensors, then you'll always have them?
My guess is that the warning light will come on and bug you. It is nice to see the warning light come on when your pressure is low. Unless you check your tire pressure regularly (which most people don't) then the system is nice. The sacrifice in performance or tire wear with a low tire that you don't know about would be the alternative to spending the money on the sensors for the 2nd set...