Momo's comment raises a good point about the metal, because that kind of weathering will likely include discoloration of exposed metal, and then also staining due to exhaust.
For the metal, it will depend on what the exhausts are made of. Steel will rust from the heat, while other metals will discolor but not necessarily show the pitting that oxidation causes with steel (iron). For steel exhausts, I'll base with black, then drybrush successive layers of brown and reddish brown over that. I've also use powdered graphite from a pencil.
For the exhaust stains, I generally use powdered chalks, black, brown, and reddish brown, but also white or grey. It depends on whether I have photo references for the subject. My chalks are just generic pastel chalks from an art supply store, but companies like AK Interactive or Tamiya also make weathering powders. I use a knife blade to scrape the chalk onto a palette and then apply it with an old worn-down brush.
IDK , it looks like the paint has flaked off but I can't tell if that's bare metal or a primer showing .
No burning , just discoloration and removal of the paint from the gases impinging on the backside of that panel .
Do you know if that piece is made from steel or aluminum ? It's definitely dull , like the exhaust pipes , which you'd expect from hi-temp oxidation .
I can't find any other photos that help .
That flame shroud is definitely painted like the engine cowlings , when it's nice and new :