The only time Ive been instructed to tig purge weld is when i work on food grade equipment, I've welded pipes on ships that require Lloyds inspection and approval and didnt need a purge for any of them, I was also taught 2 ways to weld pipe for a 1st class weld, for purge lots of penatration with the torch at 70-80 deg to the weld, for no purge hold the torch around 10-20 pointing back so the blob also forms inside and is bathed by the argon, if done correctly (professionally) it will be as strong and long lasting as a purge.
At work I use 1.5mm stainless rods (yes they exist) to weld thin stuff, I prefer them to TIG as its quicker and gives just a good as finish, but for exhaust systems I think mig would be the most cost effective for a shop and just as good as tig/stick for what they are doing, I cant see steel wire being all that good from a rust point of view but it works ok with stainless, for a good finsh you cant beat TIG though.