Wow, that really looks home-made...
The m2 headers I got are done with a similar idea (shove round tubing into oval), but they actually fill-welded the transition on the inside. It's not perfect, but a LOT better than in your picture!
I've had the m2's on for a couple of months now. Fit was great on the drivers side, but not good on the passenger side. I had to bend an underbody panel bracket out of the way to make it fit.
They certainly do transform the car though. The sound is really nice above 3,000 rpm, both from inside and outside the car. No droning or vibration or other negatives. Power delivery is much more peaky. There is a marked difference going above 3,500 rpm. Without a dyno run I am unable to tell whether that is because the headers rob torque down low, or because they add torque above...
I personally feel these headers are an outstanding modification. For less than $100, you get a radically different feeling car. Whether they add hp or not is secondary in my opinion - I like the way the car feels!