On my 2002 WRX, I was running a tune along with my modifications. It raised boost from 12 to 17-18psi, and recurved the fuel/timing maps to make more power. On the very same tune I ran with the same mods, people were seeing increases of 40-50 WHP on the dyno. It "smelled like a lawnmower" because the map I was running was a little on the rich side, and there were no cats. Before I touched the car, I was averaging 21mpg at best. After, I got anywhere from 24-26 on average. Why would I lie?
Also, As far as the Subaru engineers "knowing better"...
For the U.S., to pass federal emissions standards, they had to use a combination of a really crappy base map and three catalytic converters. There was one before the turbo and two after. Before long, people began to lose turbos on BONE STOCK cars because the catalyst would break up and go through the turbo. They didn't know any better because this car wasn't offered here before that.
They probably ran it this way as a "band aid" until they could figure out a better way for the U.S. market. In 2004 with the introduction of the 2.5L Turbo engine in the STI, they did figure it out. These (and later 2.5L Turbo motors) have a catless uppipe and an air pump. They also have a completely different, larger, and better flowing exhaust system with two cars in the downipie.
They have learned a lot since the early U.S.-bound WRX's were built. My newer 2009 WRX has an air pump, 2.5'' exhaust (as opposed to the 2.25'' on my WRX), one high-flow cat, and it makes almost 40 more hp than my old car did. And you know what? I'm not messing with it! There's no need to, because they got it right. The thing also gets 23-27mpg's on average! That's some pretty good progress in 7 years' time if you ask me. They pretty much made the stock car as efficient with full federal emissions equipment as my old car was with a full tune and aftermarket exhaust, and nothing is gonna come up and munch my turbo!
Looking back, If I had to do it all over again with my old car, I would do everything the same, except get a catted downpipe to cut down the smell and the sound a little bit. After 3 years of driving it like that, it got annoying.
Back to your regularly scheduled programming...