Another why cant I buy a cheap exhaust thread - search function did not help..

So I don't want to spend R 6000 on a Leo Vince.  (unless someone can sort me out for less) 

Someone told me that if the pressure on the outlet side of the engine is not enough, air gets sucked through the exhaust and this causes the valves to overheat and then I dont know what can happen because of that. Bla bla bla scary story your engine can explode and then you die in a fire.

This true? What makes expensive ones better?