I'm currently running some of the sheet stuff over my cats and mufflers. It does help. I would never fully wrap the exhaust, though. I've heard too many horror stories about exhausts rusting out from them.
Limit straps are really easy to add later. You may just need to knock some paint off the frame and weld on a mounting tab. You can attach them all over on the axle bolts. Mine are currently attached to my lower links. I'd see how it ends up doing after it is fully assembled and running.
Leaf springs act as the limit strap for the shocks on most 40s. I am less sure about coils, but unless they are attached firmly to both the frame and axle, I have heard they have a tendency to pop out if the suspension is over-articulated. With my front coil overs, they flex so much that I reach...
With that, It is bolted into the floor and existing A pillar. The material is 1/4 x 2" angle. It's pretty strong. If you manage to crumple that in an accident, you are going to have other problems than the cage failing.
If you are looking at an in-cab cage, here is what I did for my A-Pillar to keep it low profile. I would consider it just as strong, but it really keeps the footwells open. It mounts right next to the body mount, so it pretty strong. I doh'd with the lower dash pads, so something will have to...
Definitely possible and a good compromise, but I think that it would be hard to get it to look good. I do think that it would be a good option to look at though.
You definitely can bonk your head pretty good on a cage. It seems to happen a lot of you are going fast on rough terrain, or when you get the major body sway going over obstacles. Harnesses can help restrain you a lot and prevent that. I wouldn't see it as any worse than not having a cab mounted...