The cobb ap will clear out the p0420 code and will increase performance significantly from what your running now. The ecu is actually detuning the car presently since its seeing higher boost levels than stock as well as the intake needs to be calibrated properly.
You would be fine running the cobb stage 2 tune with your current downpipe but cobb does not offer maps designed to run with the k&n system. There are quite a few options for custom tunes on the forums, obviously we would be one of them but pick the source that seems to fit your needs best for what you want to accomplish. If you have any questions otherwise your more than welcome to read up on my tuning faq in my signature or website or shoot me a pm.
Have a great day and welcome to an addiction....