I got a XenonDepot kit...been very happy with it. Got stuck driving across Michigan's UP unexpectedly after dark, was VERY grateful for it.
Regarding the power and heat of a Xenon light -- zero issues. It's 35w vs. 55w for the factory incandescent bulb. Less power, less heat. And Xenon lamps don't mind heat.
I have not done an LED headlamp conversion..I'd be more concerned about heat there. LEDs run cooler than xenon and incandescent bulbs, BUT LEDs don't like heat, that's why they have cooling fins and sometimes fans on them. For an "always on" lamp, I'd be worried about cooling (and the airflow available for it under the tupperware). HOWEVER, they might be perfect for a high beam, which is normally used only occasionally, and you want instant-on (xenon is not so good with that).
I left my high beam as a conventional bulb. It is still useful, both for signalling other drivers and on long, dark roads, probably not as bright as the xenon low beam, but focused way down the road, so yes, it still matters.
I got mine a few years ago now, a friend with an 2002 R11??RT wanted one as well, so I got the two-fur kit and split it between us, as both bikes used the same bulb. If you have a friend with a 2002 RT, I'd suggest not mentioning it.
I had no trouble doing the install on mine, but getting to the bulb on her bike was a nightmare. Fortunately, she's both mechanically unafraid, if not inclined, and had much smaller hands than me, so she was able to get the bulb in and mounted. Not a xenon issue, just the 2002RT is difficult to get to the bulb -- hard to get out, harder to get back in. She's also happy with her xenon upgrade.