Hi donfre,
As Rook mentioned, 1st gear "clunk" is entirely normal, make sure your idle speed (RPM) is set correctly, should be 1,000RPM +/- 100RPM. The only time I've ever noticed any kind of a clunk into gears other than 1st is typically the 1st to 2nd change as the gear ratio difference is the greatest and is typically when I don't time the gear shift sequence properly. Usually I roll off the throttle too soon when it happens, ideally the input shaft rotation should be rotating at the same rate as the next primary gear rotation. If you know anyone else with a ZX14 would be worth your while to trade bikes to see if the sound/feeling is normal as it might be as simple as the sound is more noticeable with a quieter exhaust and its entirely normal.
Regarding fuel economy, I actually noticed the opposite of what you saw, went from 6.8L/100km down to as low as 5L/100km with my modifications. But as Hub pointed out, the stock exhaust provides more back pressure, with an engine tuned for performance the valves will be open for longer and wider to provide more top end power but at the expense of low end power and efficiency. Back pressure from the exhaust can actually help improve the low end (think <4,000RPM) performance by stopping/slowing the air/fuel from the intake stroke from being sucked out the exhaust valve due to valve overlap, where both the intake and exhaust valves are open at the same time. If the ECU wasn't flashed or a piggy back fuel unit added (ie power commander) good chance your fuel economy was mostly due to a poor air to fuel ratio.
As you pointed out, the other major contributor to fuel economy is the speed, road conditions and aggressiveness in which you ride. That being said, as much as I enjoy getting better fuel economy than my car, I did buy a high-power sports bike for fun more than economy... the better fuel economy helps me justify the cost of tires, insurance, oil, etc.