The US HE's are VERY restrictive. You will gain some HP just by going to the less restrictive Euro HE's and an aftermarket exhaust. They are not optimum, because the length of the exhaust path is still very long, but for anything under 400HP, they should be sufficient.
Nothing really beats proper headers, which have been optimized for more efficient exhaust flow to the turbo inlet.
If cost and heat is an issue, then yes, going to a Euro setup is a no brainer.
'89 911 Turbo Cab
Protomotive MAP ECU, Twin Plugged Heads, GT2-EVO CAMs, 3.3L fully finned P&C's, ARP fasteners, C2T head gaskets, Titanium Retainers, Turbo spec valves, springs & guides, 964 splash valves, GT35R BB turbo, GSF Stainless Headers, Magnaflow Exhaust, Full bay Intercooler, TiAL 46mm w/gate, TiAL 50mm BOV, Apexi AVC-R EBC, SPEC Stage3+ Clutch kit, Crane CDI Ignition