What makes you so certain it's not just burning off? I'll believe you if you tell me, but just about EVERY exhaust part is going to burn off some smoke for a few minutes after install. If there's no oil anywhere to be found prior to the cylinders (i.e., TMIC, intake manifold, throttle body) then it has to be something in the cylinders or after it. Rogan advised you pull your spark plugs and take a look there...it's easier to do than dropping the whole intake manifold and will probably give you the same information. If they're bone dry I would basically move straight to the turbo. Check to make sure there isn't oil leaking from one of the banjo bolts...they're the brass colored bolts that screw into the center section of the turbo and have a hard oil feed/return line attached to them. They connect to the heads for their oil supply.
If you remove the downpipe, where do you find oil? In the downpipe itself? Is it coming out of the turbine housing past the fan blades? A picture of the affected area taken in good light would help as far as having an idea of what's going on.
If you went from a stock exhaust system to a fully catless system, you're definitely going to notice more smoke and stuff at startup...nature of the beast. If you had a pre-existing turbo problem, it would be WAY more obvious now that you don't have 2 stock catalyzers in the way soaking up the oil smoke that comes from the exhaust. I would probably double check all those things and if you still can't pinpoint a problem, make sure everything is assembled properly and take it for a 5 minute test drive. Keep an eye on your oil levels, if you're burning oil you don't want to inadvertently run out. For what it's worth, even if your turbo totally dies and seizes, so long as you don't run the motor out of oil or drive aggressively once this happens, it's unlikely you will blow your engine up. It is not unheard of for a stock turbo to get messed up and blow a seal. If you don't need the car right away and just want the peace of mind, you could uninstall the turbo and send it to Deadbolt for a full rebuild. www.boostplanet.com . While they have the turbo, they could do a port/polish/ceramic coating that would net some good gains in spool up/topend.
All the best.
I need some help if you dont mind. I installed a DP(invidia v3 catless) about three days agoon my 06 wrx tr,and reflashed to the stage 2 map on my AP and as soon as I started it up, I started getting white smoke.I am convinced that it isnt the DP burning off the oil that was on it. I check what I think is the PCV system and there is no excessive oil there or in the intercooler. I dont know what to do. I did take the DP back off and I did have wet oil there, so I know there's something wrong. I just dont know how to tell what it is. I am not a subie mechanic or tuner. I read your (caring for you car) write up. and now i feel like really dont know anything. If it is my turbo seal going out ,would it be a good time to up grade to a vf39 and sti topmount ic. I value your experince and what ever info you can give me . I live in lousiana and there are no real tuning shops here,so thats why i feel inclined to do it my self. Please help. Thank you!!!