I agree with you about the exhaust--if the new exhaust is optimized for low-RPM flow. I would be pleasantly surprised if you could find any tuned header setup that was actually optimized for 2,000 RPM, which is where most of our engines are the most efficient.
Most or all headers are tuned to improve flow well up in the RPM range, and more often than not they sacrifice low RPM flow to do that. So most headers will tend to worsen your MPG.
There are exceptions, particularly when the stock system is really hideous. For example, a friend of mine has a classic V8 Mustang. His fuel economy went from astonishingly awful to merely horrible when he swapped the stock exhaust for a set of headers.
-soD
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