It does hold in more heat, How much I am not sure. It supposedly allows exhaust gasses to move fast but much of that depends on the pipe that is wrapped. Our pipes are not overly large in diameter so you may or may not get any benefit. Unless you already were lean, you probably won't need to make any changes unless you also changed the muffler. Since you have run it, just pop the plugs and look.
As for the smoke, if it keeps happening, then there might be some issue. If not, my GUESS would be that the wrap wasn't fully dry. I have heard that water can be absorbed by the wrap, like when you wash your bike or ride in the rain.
Keep in mind, this is stuff I have read from other people so ymmv.
The ride IS the adventure. The destination is just to get gas!