My car has always been rough initially as well, and it's been that way through a long series of exhaust changes (all factory, stillen headers + berk HFCs + factory CBE, stillen headers + berk HFCs + stillen CBE, stillen headers + berk HFCs + FI CBE, and now FI LTH + FI CBE).
With the very aggressive exhaust setup I have now, the initial "rattle" period actually rattles the loose hardware on my garage door, which makes it sound like a loose bolt on the car, but it's not on that car at all
. It's pretty insanely loud and vibrational.
But anyways, it used to make me nervous, and I'd go back and triple-check bolts all over the place. Never found anything loose. The engine's just really rough and rattle-y for the first few seconds when started dead cold, and it passes as the revs begin to drop from the ECU's cold-start process.