The Chshhhh noise is a "blow off valve" or BOV. Which is a completely separate thing.

It plumbs into the high pressure side of the intake tract after the turbo. It is activated by high vaccuum inside the intake plenum. The vent (the noise), can either be "atmo vent" or "plumb back", or hybrid (meaning both).
It is designed to keep the turbo spinning slightly longer. IT is supposed to make the turbo last longer, but this is theoretical. Many factory turbo installs don't have one.

The wait between gears...that's "turbo lag".
The turbo on your EXA is obviously a little too big. Fitting a smaller GT25 Garrett turbo will rectify that...welcome to the club where an open wallet is a common sight.