I just installed WP on a clean server and installed a couple of plugins immediately after. When WP SEO installed and I check ALLOW TRACKING I got this:-
Warning: Cannot modify header information - headers already sent by (output started at /home/usprop/public_html/wp-admin/includes/template.php:1642) in /home/usprop/public_html/wp-includes/pluggable.php on line 876
OK if no tracking set.