If you can avoid the cops, don't worry about running an open header on your Zuk. I did pretty much the same thing when I installed the header and had an exhaust built for my rig, the muffler shop was 20 miles away infact.
The old wives tale about warping valves is about running an engine without an exhaust manifold, not an open header or even open exhaust manifold.
As far as a cat, I don't have one. And for a muffler I have just a cheap turbo muffler that the muffler shop installed when the first onr rotted off. The first one was a cheap one also, lasted about ten years.
So don't waste your money on a SS muffler unless you really want it, and don't worry about running your Zuk with an open header.