I wonder if everyone that installed the COBB header is using the later model donut gasket.
I have a 1998 Legacy and the replacement is smaller than the later RS donut, thus it would allow movement of the joint and possible noise.
Also, are you running the stock hangers or did you get new heavy duty ones (COBB and KartBoy both make them) since it can make a difference in noise. The performance exhausts are a bit bigger in size and thus don't have as much clearance to the chassis and other parts.