If you're going to buy a modified car, at least buy it from a stealership with some sort of warranty. I was lucky enough to find my WRX with all OEM STi upgrades, so the service manager was still able to warranty it out for 6 months / 6k miles.
As for your issues, there's no doubt you're going to need a rebuild. COBB Tuning knows what they are talking about. They normally won't try to take advantage of their customers, regardless of age (just given my experiences as well as most others), though that's really up to you to decide at this point. You're the one that's talking to these guys... but them trying to take advantage of you should be the least of your worries at this point.
The engine is still OK for a little while. You need to start planning for a rebuild, no doubt, but you can still drive the car - though I wouldn't beat on it too much. Next I would take all of the current modifications off and replace them with OEM STi parts or, at the very least, make sure that the current modifications are taken out, inspected, and then re-installed correctly.
You definitely bought someone else's problem(s), mengh. And unfortunately it's not really anyone's fault but your own for not getting it inspected properly prior to the sale. I'd suggest that you take care of what needs to be taken care of and then really take a step back and ask yourself if you can afford this type of car given your situation... Everyone wants a fast car when they're young (and good for you for being able to even buy one), but the associated costs with owning one often prove too much for people of your age or experience. You have monthly payments, insurance payments, maintenance costs, repair costs, and not to mention the mod bug will bite you eventually. Maybe just something to consider; as much as you want the STi right now, is it really going to be worth it in the long run?