From the picture, it appears that the intake is the "ventilator" intake, which is a high volume intake, so there should be no need to change that. And yes, it does come with a rain sock which can be used all the time, or not...from what I've read it does not restrict air flow into the filter. Yes, the stock filter is paper and NOT gause like the K&N product. Again, from what I've read, the paper filter actually does a bit better job of catching smaller particles of dirt/dust, and is not restrictive. K&N is making a replacement filter, but it is exclusively (for now, at least) a HD part number, and must be ordered through a dealer. I don't have the part number readily available, but there is another thread about that here somewhere. Also, from my understanding, the ECM has been modified for the ventilator intake to add a little more fuel to the mix, while still meeting EPA regulations. If you want a louder exhaust, or one that is a bit more free flowing, then you'd need to go with some aftermarket pipes, and you may want to change both the header pipes and the mufflers in the process. Of course, if you do that, you'll need some sort of tuning device to adjust the A/F mixture, and that is a whole different subject. Back in the "good ole days", you could do Screamin' Eagle mufflers, a SE air filter kit, and get an ECM "download" through HD...you could do that through the '06 model year, but not any more.
Sorry, but I don't know whether anyone offers an alternate baffle only for the stock mufflers on your bike...Fulsac does so for the touring bikes, but I don't think so for your bike. On my bike, an SERGU (Road Glide), the exhaust note is not terrible, so I'm not sure if I'm going to change it or not...if I do, it will only be to cool the motor down with a tuning device, and I'll still not want a "loud" muffler so will probably go with the 1.75" Fulsac cores and probably their X header pipe as well. Been there, done that with the loud exhaust...my ears can't take it any longer when doing a 500 mile day.
I'm sure some of the guys here who own bikes like yours will be able to chime in and make suggestions about exhaust systems...