Hello again, not only am I new to this forum but I'm new to Jag.

Since I bought my xjr recently, I've noticed excessive exhaust fumes coming from the HVAC. First thing I did was change the cabin filter, much better!! No active carbon in the previous owners filter.
I'm still getting fumes and I also hear a ticking under harder throttle from the engine bay so I'm expecting an exhaust leak, especially considering the HVAC intake and sound are from the same side.
Are exhaust leaks common in the engine bay?

 

They are not common as far as I can tell.

To get fumes in the engine compartment I would expect a manifold leak or a catalytic converter flange leak.

You may even hear a "ticking sound" from such a leak.

 

Thank you very much! That was kinda my thought but I heard of a flex pipe in the header that might leak and I just wanted to know if there were predictable or expected weak points.

 

There are no flex pipes in the headers as far as I am aware.

There is a "flex pipe" that goes to the EGR and it is very close to the cabin filter assembly. Infact you have to get that housing around the cabin filter out to get at that flex pipe.
On my car the flex pipe is quite robust. It would be possible to have a leak at the metal gasket where the pipe bolts on to the egr valve.