Do you have a Cobb Accessport or other means of reading and flashing tunes? I ask because I would first check to see what tune is on the ECU. Many off the shelf tunes such as the ones Cobb offers are designed with an added measure of safety in place, in the form of a richer than necessary AFR.
I don't know if that is still an issue, but back in the day if I saw a stock, turbo Subaru with a sooty exhaust tip, I assumed they were running an OTS tune and/or a VTA blow off valve (which is also a no-no).