O.K.
Here's my read on your report.
Your couplers should be dry. If there is any oil or other liquid there, then you are taking some oil and probably water, back into the intake through the PCV valve and would benefit from an oil catch can.
The oil feel on the exhaust "soot" is sort of subjective. Since you describe it as not really wet, then this would also be consistent with crankcase blow by from the high boost and high compression getting back into the intake through the PCV valve and being only partially burned.
I can't rule out some oil getting past the turbo seals due to excessive pressure in the oil line, but your description suggests that this is minimal.
I would:
1. Get a good catch can and install it correctly (instructions in other threads).
2. Check it regularly and see what you are collecting. It will surprise you.
3. After a week or so, let us know if your "smoking" diminishes.
4. Check your oil dipstick regularly. If you are not seeing a decrease in level on the dipstick between oil changes, there is little to worry about, regardless of the source of the "smoke."
5. If you are seeing a noticable change in dipstick level, or if the "smoking" gets worse after the catch can, you may be one of the very few with a true turbo problem.
For what it's worth, my MS3 is now the fifth turbocar I've owned, the others were turbo Saabs and Volvos. I upgraded every one with a down pipe and race pipe, running catless and with factory "upgrade" ECU's designed to run higher boost and use premium fuels. All of them ran Garrett turbos, variations of either T4 or T04 models. After the increase in boost to the 14-16 pound range they all "smoked." The common denominator is high boost in high compression ratio engines and ECU's tuned for premium fuel.
From what you are telling me so far, I'd say get the catch can and just enjoy your car.