I had custom catless headers done and I have dyno'd. Most of what you were told is simply false. Check my thread for evidence. There was zero increase in sound at all with my design. There were gains of HP and torque all throughout the curve. TQ gains were greater than HP. My MPG has improved noticeably. At times it was up by 20%. Greatest gains were from 2.5k to 3.5k RPM.
http://www.e90post.com/forums/showthread.php?t=772142