I've never had that problem with varoius 2.5's. I'm pretty sure you have an exhaust leak. Is the orange o-ring on the engine for the header still intact as this could be causing the problem.
If you have a big enough leak that oil is getting out then your definitely losing power. On a side exhaust header I'd reco that you use some type of sealent.
If the O-ring is in good shape and the screws are tight you should be alright. Defintley use some thread lock on two screws for the header as it can vibrate loose with less then 5 tanks.