2005 Subaru Outback 2.5 xt Limited
No odor, I'm pretty sure that it is just oil on that picture.You can expect a lumpy shift or two when it is dead cold, but once warmed up you shouldn't notice anything. I would consider a drain & fill of the automatic transmission fluid. Insist on the Subaru HP fluid from the dealer. Weird stuff happens with the generic stuff from the corner auto part store.
I see it in XT threads all the time, and have observed it on my own car: Sloppy return-to-idle by the engine management. You're cruising along with barely a toe into the pedal, then you see a red light ahead and come off the gas to coast up to the stop and for half a moment there's a silence, then you're just barely aware of the engine starting to vibrate again, very slowly. Then it comes back up to normal idle and you feel that buzziness it does at idle in gear. I think it's just something XTs do. Not sure if it's good or bad, but quite a lot of them do it. This has never been made better nor worse by cold. Your car's idle shouldn't be bothered by cold until it's around -70°F, and other systems would have trouble before then.
I had a slight oil leak from mine, inherited from the previous owner. It turned out to be an o-ring between the oil cooler and the block. It's somewhat common on XTs, and it's certainly close enough to the exhaust to be your puff of smoke. Have a look at the oil filter and see if it has a film/drips on it seemingly from above. Note: cooler & filter are under the power steering pump area, so one problem can look like the other.
The picture you show is the opposite side of the engine. Any odor? there are fuel lines in that area, and some Subaru fuel lines have shown a tendency to shrink and leak in cold weather.
I will check between the oil cooler and block. Should that area be leaking while it is just sitting cold?