First, 800° pre-turbo exhaust gas temp (EGT) is not "high". 1,250° is the redline, so anything over about 1,200° might be considered "high". (I hope you have a pre-turbo pyrometer.)
It sounds like your experience is normal. Your truck has a cold ambient pkg (CAP) that includes an exhaust back pressure valve (EBPV). When the engine oil is cold, the computer closes that valve to stop up the exhaust, which causes more load on the engine and a lot less power available from the engine. That sound you notice is because the exhaust is stopped up (or partially clogged by the EBPV). If the engine returns to normal after it warms up a bit, then your CAP is functioning the way it was designed to function.
Right. Operating the EBPV when the engine oil is cold is normal, so no codes are set and therefore no check engine light.
Because that's the only time the oil is cold. And when it doesn't occur, it's probably because the weather wasn't as cold as when it did happen, therefore the oil wasn't cold enough to activate the CAP.
I suspect any decent tech will tell you about the CAP. Or maybe more detail, such as: "Cold oil" is a symplistic explanation. Your CAP uses at least three sensors, engine oil temp (EOT), intake air temp (IAT), and automatic tranny temp, to determine if the CAP needs to be activated. And the CAP does more than activate the EBPV. It won't allow the automagic tranny to shift into overdrive, and it won't allow the torque converter to lock, until the tranny warms up some. Plus if you allow a cold engine to idle, after a minute or so the CAP will elevate the idle RPM to between 800 and 1,300, depending on how cold is the EOT and IAT.