The warning chimes, yes. The airbags, no. The alarm doesn't exist on a Sunfire.
Basically, there's two challenges with replacing the stock radio on a 2000+ Sunfire: the stock radio controls the warning chime system, and there's there's no accessory power wire behind the stock head unit.
If you remove the stock radio, you'll lose door chimes, "lights left on" chimes, and any other warning chime. To retain them, you either have to relocate the stock radio and keep it in the system, or replace it with a specialty module that takes its place and generates the chimes. Usually the modules have an accessory power output that lets you keep the Retained Accessory Power feature, which is what keeps your radio playing until you open the door. I'm guessing they're trying to sell you a module.
If you remove or relocate the stock radio, you'll have to find another source for accessory power. I like to use the brown wire from the key switch.
The store wants to sell you a relocation kit or module for two reasons: second, they don't want a liability problem if they get rid of your seatbelt warning chime and you forget to wear your seatbelt. First, they want to make money.
Removing the stock radio WILL NOT affect the airbag system. It would be ridiculously stupid for GM to tie airbags in with the radio in lawsuit-happy USA.
If you don't care about the warning chimes, use a Metra 70-2003 wire harness.