I don't know about the warranty, but I can tell you that I just got my P4 2.4C a few days ago and am using the Retail HSF. I immediately scraped the thermal pad off the bottom and put on some AS3, but didn't lap the heatsink. After installing the CPU on my IS7-E, I found that dual Prime95's would fail after about 5 minutes at 3.0GHz at default voltage (1.525). Max CPU temps according to my IS7-E (known to overestimate temps by a good bit) were reported at ~62C. Next thing I tried bumping the voltage up to 1.575, but still crashed Prime95 after about 5 minutes. This time temps hit about 65C. Finally, with much hesitation, I upped the voltage to 1.600... stability problems solved, I'm stable at 3.0GHz with the retail cooler. Full load temps are a whopping 67C according to my IS7. I have no way of telling what the real temperature is because the sensor is clearly off (if I leave the PC off for an hour, turn it back on, and go straight to PC Health in the BIOS, it is already reporting 50C only 5 secs after power-on).
I guess the point is that especially if your 2.4C needs more voltage to hit 3.0GHz, you may want to consider one of those aftermarket HSF's. I was completely stable at that speed but am weary of frying my processor at a loss of $175, so I'm just going to run at stock speeds until I get an SLK900 or 7000Cu+ --- that is, IF I get one (I agree, forking out $45-$50 for an SLK900 when it doesn't even have a fan seems odd since it's approaching 1/3 the cost of the CPU itself!).
BTW, from what I've heard from a few other users, temperatures don't seem to be much higher using the thermal material as opposed to AS3, so if you are concerned about voiding the warranty, just keep the black pad on there. The way I see it it's either you're going to run at stock speeds, in which case you have no reason to alter the stock cooler, or you're going to overclock, in which case you need an SLK900 or 7000Cu+.