Yep thats basically it. Opening up the exhaust system decreases back pressure, thus more exhaust is able to escape from the exhaust valves. The boost gauge reports a drop in pressure as the air moving from the supercharger into the engine is now moving out with greater ease. This increases efficiency because less work is needed by the piston to move upward during the exhaust cycle. Maximum benefit is realized when you upgrade the intake, and increase the amount of air that can flow through it. Then you will move more air into the engine, which allows for more fuel to be burned, and greater energy from combustion. Be weary, however, that with intake and exhaust upgrades significant enough, you can exceed the delivery capacity of your stock fuel system. I believe a larger intake hose, cone k&n, and exhaust upgrades excluding downpipes & manifolds is safe with the stock fuel system, but I am not certain.
You will most certainly be faster with an upgraded exhuast, and your gas mileage will also probalby increase. You can overdrive the supercharger with a smaller pulley if you wish to add further boost, but the sc will put out the same amount of air as before the exhaust upgrades even if you dont overdrive it.