Following on from what Dubble Yew Eight said, the effect of the extra weight of an exhaust on the attachment of the manifold to the cylinder heads must be considered. The additional inertia may strip the nuts or pull the studs out of the head. This is particularly likely at idle RPM when torque reversal maximizes cylinder head movement. A flexible coupling is one option, however the location of this must be carefully thought out, as failure of the coupling may expose vulnerable parts of the airframe to hot exhaust gas, or the cockpit to carbon monoxide. The Puss Moths and the SE5a both had long exhausts, so the technology to do so has been around a while though.
If I remember correctly, Janspeed made their name with an exhaust which replaced the Ford Consul's restrictive stock cast iron manifold with a 4 into 2 into 1 tubular manifold which gave an immediate 10hp increase.