i owned my MS3 from 6000ish miles to just past 40k, and didnt put the downpipe on until around 30k. before that it had a cobb short ram intake and forge valve until the accessport was released, and from then on i ran stage 1+sri maps with the intake and forge.
when we went to install the downpipe, we found the crazy shaft play. there was no smoking at idle and no evidence of oil burning in the exhaust housing or turbine wheel. it had been running stock or near stock (16-17.5) boost for the majority of its life up to that point. i decided that since it hadn't started smoking and didnt look like it was leaking already, it would be ok with the cp-e downpipe. it never did smoke, even though it was running 19-21 psi for nearly the whole time i had the downpipe on it. btw, the stock MAP sensor maxes at 23psi so going any higher requires a different sensor and adjustment via the COBB accesstuner race software. I never did have any issues with the turbo, but i felt like it was getting ready to puke its lunch, then the clutch started slipping at full power, and there was the ongoing need of tires and squeaky brakes that were going to need some work within the next 6 months as well.
i would highly recommend the MS3 and don't want my comments to scare you off, my car was an april 07 build date, and some of the earlier cars had turbo issues, so just be on the lookout for early 07 MY cars.
to see if the turbo is leaking, run it hard for about 10 minutes, getting into boost and generally enjoying it, then park it and let it idle for another 5-10 minutes. if it doesn't start spewing smoke after