Purely emissions; they burn unburned fuel in the exhaust too, hence the smell difference. Modern high flow catalytic converters don't rob horsepower, I have have seen dyno tests that showed a car (a N/A Honda) make more power with a high flow cat than with a test pipe. It could rob horsepower if it is so dirty that it restricts flow, but that would be a bad cat because they are designed to clean themselves(the screen heats up and "burns" everything). But about it wasting gas is untrue, a bad oxygen sensor would cause this but not removing the cat.