Well, downpipe is a prereq for any reasonable power gain. You're not going to jam a JB4 on and see the gains you'd see if you had one. Or anything else. Sure it might snag you 10hp on it's own or something, but you need the exhaust to flow nicely if you're going to up the boost.
It will not. Get a catted downpipe - you get the same gains and no CEL. There is a -ton- of information available on this. A nice GESI high-flow cat is fine. Check my build thread for my recommendation - also ActiveAutowerke is popular for a no-CEL guarantee downpipe. You're interested in high...
Wanna go fast or sound.. different? The stock exhaust is fine - there's no gains there. If anything, the question should be
"JB4 or Downpipe" in which case, the answer is downpipe.
There's a ton of information on this all over the internet, so I want fully regurgitate here, but it's possible they refuse warranty work on the steering wheel here, but they can't deny warranty work on, say, the powertrain if you messed with the wheel.