flashing custom rom worth it if the stock rom doesn't fit your needs. You'll have to read some custom rom threads and try a few to get an idea of what rom you prefer as "which rom is better" discussions are not allowed in this forum.
For your bootloader question, If you send back the phone for warranty repair, and the bootload is LOCKED (not relocked) and everything else is stock, there is 99% chances HTC will honor the warranty without any question. And even if they know that you have requested an unlock_code.bin from HTCdev.com , how are they supposed to known if you have used it or not? Maybe you have requested a code, and you have changed your mind.... HTC said that unlocking the bootloader may void warranty, not that requesting an unlock code void the warranty