CO2 and H2O is the byproduct of COMPLETE combustion of the gasoline. Unfortunately, nothing is perfect, and you often don't get PERFECT OR COMPLETE Combustion, and you get additional byproducts, like CO, HC, HxCx(Many different combinations of Hydrogen and Carbon, refered to as just HC) and NOx(Many different combinations of Nitrogen and Oxygen, refered to as NOx.
The more efficient your motor is running, the less CO it will make, thus the less it will need the CAT. Most modern, computer controlled cars, once they are warmed up, would make very little CO. Perhaps still enough to kill you if you let the motor run long enough enclosed in the garage, it might take hours though if you car is a 90 or later and running well.
Everything you said about CO2 is true, except that it is poisounious as well. The level of CO2 gets too high, it will form acids in the blood that poision you.
I put the removal of the CAT, especially just for noise, in the same category as painting your headlights black, just to look cool, even if you never drive at night. One day your going to need the headlights and your going to be sorry you painted them black, even though you thought you'd never need them.