Welcome, and thanks for the useful info up front !
It helps that we already know what problems you may face having the full 2CD install.
2 of the textures are borked on CD 2, so you will get occasional "skating players" in online games.
Options are to patch the bad files (patch available),
replace the files with regular files from CD1,
or upgrade to even higher quality versions from the UTTextures site (requires updating to a modern video renderer)
My beloved Chaos had an update after the UT release, so you should get the newest ChaosUT from the official site.
Rocket Arena may have had updates also, and you will find them at ModDB
The Volatile weapons and ammo mutator on CD2 does not work online. Copy the DE.u file from CD1 over the installed version.
There are also a couple of fixes for 2 of the bonus packs included with the GOTY edition.
I complied a list of the differences between the UT versions, with links to the various files needed
http://hooksutplace.freeforums.org/unre ... -f104.html
There are sections covering fixes and essential updates, through useful enhancements, to funky and shiny pimping.