I've dealt with this on another car.
Sometimes people like to get under the car while it's running and try to feel air coming out of possible areas that leak but that can be hard at times so try this.
- Remove the header
- Look at the gaskets (both the ones going to the heads and the one going to the overpipe). If they are sealing correctly you'll see black soot in a perfect circle. If it's leaking you'll see it on the gaskets spraying out of the perfect circular shape you'd hope for.
Since the header installation didn't happen too long ago not enough time may have passed before seeing any soot on the bottom of the heads or surrounding areas. The gaskets would show the leak first. So I'd remove it and examine the gaskets. Maybe buy new ones before doing this so you can put fresh ones on. It's worth noting I've NEVER had a problem with stock Subaru gaskets.
Also check the welds, there could be a bad weld.
In addition, check the overpipe to the front pipe connection.
Regarding the smoke test...where did they supply the smoke? I have another question but I'll let you answer first.