Whether you will be dangerously lean after fitting triple filters will depend on your current factory tune. I wouldn't trust any factory tunes to be good enough to run for long if you have both performance exhaust and triple filter intake. You won't kill your bike right away but will probably burn your valves in a short time.
Rockets with empty cats were the ones produced for the U.S. market (except California) in 2004/2005. Should be a few thousand of them. After 2005 all Rockets everywhere came with a complete catbox.
Far as rain and filters, anything under the bearclaw is safe and even partially exposed filters with a cut bearclaw should have enough protection in the average rain fall. No cover at all though, I would put on some pre-filters to keep things running well.
