Also, if memory serves me correctly the STi doesn't have a EGT sensor. The EGT sensor is specific to the 2.0L EJ that has the cat in the uppipe. The oxygen sensor doesn't monitor EGT, it's just an oxygen sensor.

That issue aside if there was an EGT you wouldn't notice much of increase in temperature before/after the wrap was installed.

I would guess that the most likley situation here is that one of gaskets isn't sealed and/or you're experiencing some increased lag from the entire downpipe being wrapped.