No, No, No, Pajero doesn't go wonky without the cat, neither throw check engine light nor affect the fuel consumption and instead BUMP the car performance and roaring noise than a weak V6 noise. I am running straight 3" pipe since 5 years and love the highway drone and also little doof doof noise.
I strongly suspect what shadow79 said, as in my 1999 Pajero passenger side footwell has a hole opening into the firewall that brings engine roaring and road noise inside the cabin. Stick a small soundproof or heatproof sheet there and job done - noise reduced by 50% at least. @Frederic Nuyttens can confirm if the same solution worked for him or not, as I haven't heard his feedback yet.
You need to check the missing duct or hole opening from inside the cabin and not from the engine bay. You will surely find one on the front Passenger side, but what is warming the driver side is a mystery. Maybe I should drive my Pajero without shoes and without AC to really feel how warm that footwell gets.
Just a thought, check if your AC cooling knob is turned to red (heat side) as it will be circulating the heater water irrespective of a blower is on or not.