I've heard that fitting a big noisy dump valve to a car can actually degrade the performance? - Anyone know?

It could be related to the following - a "noisy" dump valve usually means one that vents to the atmosphere (rather than re-circulating the air as standard on the Impreza). Under these conditions the ECU is likely to get the fuel mixture wrong as fuel is administered according to air flow over the (upstream) sensor . There's an interesting article on http://www.autospeed.com/A_0046/P_1/article.html about dump valves.