Welcome to the list, B&T. Some excellent questions, and it sounds like you've done your homework on this one. I remember following your story over at M.net- you lucky bastard.
6-7 PSI from a stock TD04H turbo (what Greddy uses) sounds reasonable, assuming the previous owner was using a stock exhaust system. I'm not sure what all he is including beyond the base kit, but $1,100 is not bad, though you'll sometimes see them new for $1,200 - $1,300.
Bell Engineering sells what looks to me like a Bosch bypass valve for $55. It's towards the bottom of this page: http://tinyurl.com/mkh2g
BEGi is a very Miata-friendly place, and I recommend them.
As to coatings, I've never used them but Tech Line has some very interesting looking products to this end: http://tinyurl.com/n5ost
What's unique is that the coating is applied in liquid form and either oven-cured or bolted on and cured in place.
Now, driveability... Several improvements can be made here.
First off, the Greddy kit does not have any provision for dynamic ignition retard. They just expect you to dial back your base timing to 6 BTDC and live with it. That's rubbish, especially since with the 93 octane gas you'll be using you can easily run a 14 BTDC baseline timing when not in boost and experiance far improved low-end power. The most inexpensive product for this is the Bipes ACU: http://tinyurl.com/ou6hw
This little gadget monitors airflow (or optionally, manifold pressure, which I recommend) and reduces ignition timing by a variable amount when under boost, based on RPM and temperature. Very cool.
I'll add one caveat here on the grounds that it may save you money in the long-term. If you decide to go any higher than 8 PSI or so you're going to be entering the world of larger fuel injectors. This also requires a computer upgrade to deal with. The latest thing in fuel control is also made by Greddy, called the eManage Ultimate. Now, the thing is that this box also
does ignition timing control. So if you think you're going to go this route it might be better to just buy the EMU rather than the Bipes and kill two birds with one stone. The EMU is a bit complex to setup, but there's a ton of knowledge and experience on this board willing to help with that. Depending on where you live, someone may actually drive over and physically help you do it, in exchange for beer.
Ok, departing from that tangent... One of the best upgrades you can do to an otherwise unmolested Greddy turbo is the exhaust. The whole damn thing. First off, the downpipe that comes with the Greddy is utter garbage. There's a fellow named TurboTony on this list who makes fabulous 2.5” downpipes (and fabulous 2.5” catalytic converters) and sells them to forum members rather cheaply. Generically, we call it the Tony Pipe or Tony DP around here. I got mine last week, and it's gorgeous. See here: http://tinyurl.com/hzb6p
Secondarily, there are several cat-back exhaust systems made specifically for turbo Miatae. The least costly is made by Enthuza, called the Budget Turbo Racer. http://tinyurl.com/nk3q5
Like Tony, this is also a one-man operation, so it can take a while, but quality seems to be good.
Once all this is done, you can start looking at boost increases. You've already mentioned an intercooler. With a Greddy, your options are a bit limited. You can DIY, or there's a fellow on this list names Stripes who is building ready-made ones: http://tinyurl.com/sx33b
Whatever you do, avoid dealing with someone named J-I-M-B on this. I've had to space out his name and busines since there's actually a filter on this forum server which deletes it. That's how bad things got.
At that point, it's basically just going to be a matter of installing an inexpensive mechanical boost controller and turning the **** until your grin can't get any bigger, or until you snap the stock 1.6 differential, which is common failure in higher-boost applications.