jcssti6265 and Tampabaytunedinc have probably given you the worst advice ever...

First off, you are correct a car with a tbe, an up-pipe (assuming it's now catless, since 02 had a cat in the stocker), and headers should be tuned. You made no mention of having gauges so you have no way of telling if you are running lean (so you should get an AFR and boost gauge). So you are one over boost/misfire/knock away from buying a new engine.

You can check if the car is running the stock tune by downloading it from the car using [free] Open Source software and compare it to a stock map. At least I know you used to be able to do that, admittly I haven't used OS in like 2 years but do plan on getting my car retuned with it soon. Using that same software you can upload a "Stage 2" (pretty much the setup you have) to have the correct parameters for your car. Alternatively you can get a Cobb AP to do essentially the same thing for $500. A "protune" can be done by tuner using a variety of tuning software/hardware such as Cobb AP, AEM, etc. Thats pretty much up to the tuner, so you should call one if you want to go down that path.

Also should probably ditch the BOV (unless you really like the noises) because its not helping and some say it actually hurts performance. Other than that enjoy your new WRX. Probably should check out NASIOC for more/better info.