I guess you'd have to weigh out the pros/cons:
Scenario 1) If you leave the exhaust modded, then pro- you don't have to go thru the hassle of reinstalling the stock downpipe, but the con- if the service manager puts his foot down and denies warrantee work because of the DP, then you might be in for more headaches than the DP install while attempting to change their minds.
Scenario 2) con- you have to get them damn heat sheilds and O2 sensors back where they belong without buggering them up to the point where it was obvious someone had screwed with the exhaust system, but pro- you arrive at the dealership stock with little to no evidence of any modifications.
Now I know what you're thinking, but hear me out. If you go with 2), as far as proving to them that the exhaust is smoking, why not take a video of the car with your current set-up at idle with your license plate shown and the car clearly smoking and not looking like water vapor, and show the dealership. I can't imagine that the exhaust sound at idle with a DP can be differentiated from the stock DP with the stock catback over a video.
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Also this might prove to be of some interest, though I haven't been able to confirm it for myself: thru research on another forum, it appears that there was a new part number issued for our turbos. The old number is L3K9 13 700F. The new one is rumored to be L3Y1 13 70Z. (Actually someone on this thread got the new part number on pg. 4). Apparently the old number has been deleted from Mazda dealerships p/n list. Again, I haven't confirmed this myself. I plan to install my TBE next month, so I'll check my part number then.
Now, you might ask yourself, "If I have the old part #, does this mean that my turbo is defective?" The answer, I think, is "No." A few months ago, CPE said that Warner released a batch of defective turbo's. Since everyones car isn't smoking and burning oil (or else we'd all need new turbos), I have a feeling that someone down the line either at Hitachi Warner or Mazda requested the part number be changed to completely eliminate the chances of a bad turbo being installed on any more vehicles. That, or the seals were redesigned on the new #, perhaps just with a different tolerance.
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Basically what I'm trying to say is that if your car is smoking, and you have a picture of the old part number on your turbo or the dealership can verify the old # turbo is on there themselves, and the Mazda techs look up the part number for a replacement turbo and can only find the new #, then I think right there you have a valid case that something had gone wrong with some of the turbos because a replacement part number was created, not because your modified exhaust caused it to fail. But for the third time: I haven't looked into this myself to know if its 100% true. I've seen pics of the old part# and invoices with the new part#. Someone with a smoking turbo should check into this for it may eliminate a lot of unnecessary arguments over turbo warrantee work on a modified speed3.