Yeah, the stock exhaust pretty much blows donkey balls on all fronts.
The severity of the exhaust leak of course determines the potential for harm to your engine.
Ranges from nothing more than an annoyance all the way to major computer and/or mechanical failure. Bottom line...get it addressed ASAP if it is a direct engine leak.
oh, and heat simply makes "things" expand, therefore reducing the "gap" between parts so to speak. This is only in reference to his syptoms minimizing after warm up, some get worse...
A good custom shop could always build ya some headers if your willing to spend some $$