Welcome to stage two!
Your story sounds very similar to mine, only I did not buy my WRX new. (It was low mileage, though, and I just now hit 70K).
I went stage two with just a downpipe a couple of months ago. Car ran really well, and felt good all around.
Eventually, though, I think you may want to get a catback. I had a couple of problems reaching target boost. (I was BARELY falling short of Cobb's parameters.) My car was hitting @ 15.5 psi in 4th and 5th, but last Saturday I installed a used Borla XR-1 3" system. Sounds mean (I thought I would dislike the extra noise... but so far I LOVE it), and three days on the car is now hitting 16 psi in 4th and 5th gears. Before installing the Borla I could have adjusted the wastegate, but I held off to see if my stock exhaust was the cause of the issue. Apparently it was.
The "smell" issue may not go away. Are you referring to a fuel smell from the exhaust, or the chemicals (WD-40, etc.) that might have been used when the exhaust was installed?
If you are running a catless uppipe, and you have a downpipe that replaced both of your cats after the turbo, you will smell the fuel smell for as long as you keep the system. Only way around it is to install a high flow cat, and even it will smell at start up.
All other smells will go away... The PB blaster or whatever else may have been used will cook away, and the strange odors associated new exhausts will fade away quickly as well.
Good luck and have fun!