Just more heat raising towards your IC and all. Means some heatsoak, how much? Who knows. If you are just running stage 2, not that bad Im sure.
As far as the DP goes Im also running the full Cobb TBE, I love it. Expensive, yes, worth it, HELL YES. I like the look, the sound, the fitment. Again, its what you want to spend and what you like. Man show is right that the Cobb will fit the stock, if you decide against a different one, you at most would need to have an adaptor welded to make the connection between DP and CBE. Let us know how things go, and congrats on the new power.
"2007 WRX- PPG'd, 20G- Tim Bailey tuned
Stage 2 2005 WRX