Grey smoke normally indicates excessive Fuel being unburned and shooting out the tail pipe. This can leave black 'soot' on the muffler tip and bumper.
White smoke=coolant, or steam burning off,
Blue smoke is normally oil burning.
Strange tho because normally when we put on upgrades to allow our engines to breath in more air- they tend to run leaner with out a tune to accommodate the more air now flowing through it.
-"Slapping" the throttle to quickly race the engine up to 4,000 RPM's should poop out some extra fuel by design. But if your holding it at 4,000 RPM's steady with no load, black smoke probably shouldn't be happening. If thats the case I would be suspicious of a faulty primary O2 sensor.
With out a cat, you will see more smoke coming from your tail pipe- the cat normally would take this extra Hydro Carbon's (fuel , HC) and Carbon Monoxide (CO) and turn them H20 and CO2- which is smokeless and odorless.