I am getting the same CEL. I though, have an 04 STI with stock headers. My gas mileage is also horrible.
I notice on my data logs that the ECU is seeing a very lean condition from the front oxygen sensor even though the car is not running lean. It is calling for a positive air/fuel correction, which in turn causes the car to run super rich. My data logs will show an A/F ratio of around ~20:1. The fuel correction #1 is around +25***37;. My wideband A/F ratio gauge shows ~10:1.
If anyone knows what the problem is, I'd like to know.