1) Exhaust Leak-- That appears to just be a heat shield around the manifold. Unless the donut gasket from the exhaust manifold to the next piece of exhaust is gone, that shield wouldn't be the source of the exhaust leak. If you have a second set of hands, put the car up on jack stands and/or ramps. Have someone cover the tail pipe with a rag and their hand You should then be able to crawl under the car and hear where the leak is blowing back from.
2) Coolant Bleeding-- Are you holding the idle around 2k RPM? If you're just keeping it at the regular idle (750 RPM), it'll take forever to bleed the coolant system. I also recommend have the nose up in the air that way gravity forces the air bubbles to the top. A funnel like this is great for filling your coolant. https://www.amazon.com/EPAuto-Radiator- ... 126&sr=8-3
3) Auto Headlights-- Yes, you can disable the auto headlights. If you just unplug the sentinel in the upper left hand corner of the dash, you'd retain your DRL function, but the auto headlights would not work; you'd have control over them using the stalk. There are also the below write ups on adding switches to retain stock function, and disable. If you're like me, I am supposed to have the lights function as it came from factory for inspection. By adding the switch, I can just toggle it, and they're none the wiser.
Disable DRL/auto lights: viewtopic.php?t=897
Rewire fog lights: viewtopic.php?t=9844