You're right to question the heat shield and why the exhaust is stock. It's usually pretty easy to tell though if the exhaust was ever modified if you just look at the DP/turbo flange bolts. If they look like they've never been touched it's a pretty easy call the exhaust wasn't changed. Based on the mods you've listed, it sounds like the person that owned it before just loved cosmetic and not performance mods. I'd seriously consider getting rid of that roof scoop though because it looks pretty silly!
You need to start with the first mods what to do and not to do thread and then come back and ask questions about what to do since that covers pretty much any question you might have at this point.