Demonstration of the "headless" functionality:
http://www.youtube.com/watch?v=O1t7Rc9qFgI
The card in the demo is only connected to the motherboard via PCIe and power. But note that I didn't say "Display Port over PCIe", but "display information". Which is exactly what is being done in that case, using Lucid MVP as the specific technology in order to do it.
The reason to use bridge cables is to avoid clogging the PCIe bus with extra data, especially useful in SLI when the bus is already saturated, or in the case of thunderbolt, to avoid trying to pass a DP signal over PCIe if you want to tap into the card's DP output directly. But it isn't required if you are going to move the frame buffer itself to the integrated GPU which then just flips buffers for you. If you can do this mostly through DMA, you can keep the overhead manageable, and you have to deal with this in some manner via SLI to begin with.
One thing that occurs to mind, is that if you can DMA straight into the integrated graphics' frame buffers, it wouldn't be too bad at all. You'd need to do a little management of the DMA at the driver level, but otherwise your overhead would be pretty low (although at the cost of a little latency).
Considering Apple's GPU firmware is already custom at this point, doing a couple tweaks to reduce overhead of using the integrated GPU as the frame buffer in an SLI situation wouldn't be terribly surprising to me. PCIe 3.0 also provides a bit more buffer to prevent the overhead from becoming an issue (and lessening the need for an SLI bridge cable).