Originally Posted by Cripple
Typically most exhausts and downpipes are coated with a oil to prevent any sort of oxidation prior to customer installing. This way it maintains a healthy look when you open it out of the box. The smoke you are probably seeing are the oils applied to your DP's and Exhaust. It is nothing to worry about. Keep a eye on it though.
+1 it's oils and grease from the install itself causing your engine bay to smoke. It will happen on turbo installs too.