I'll have to check again. I only installed it to bump up RPMs and thus lower the top speed of the 5-speed close-ratio box once uninstalled (for online racing on short tracks where the default 5-speed close-ratio is still too long but the fully customizable box isn't allowed). But that means I do have it purchased. As an addition to the comment made by @David Bailey, the premium Alpine has some nifty ones, as do the premium Beetle and the Microbus.
Update: It doesn't have any sort of visible means of evacuating exhaust gasses. I'm not convinced it's a glitch, though, as it also fails to spit flames with the racing exhaust installed. It could imply some sort of abbreviated system that remains tucked away and out of view.
I had a good look under the car in photo mode while going over a big jump. Really doesn't look like there is anything anywhere. The exact position where the semi racing exhaust comes out of is blocked off. Doubt a powerful engine like that could have a blocked off and unseen exhaust.
