I would bet the tubing is hydroformed, this process uses very high fluid pressure along with a "mold" for the outside shape desired. The tubing is very purposefully shaped into a non round cross section in certain sections. My guess (without looking under my car recently) is that it is for clearance - either to other parts of the chassis or to the ground.
On another note we debated the need for exhaust shields quite a bit on this thread. My conclusion was just what IND is saying above. A user installed heat sheild sounds like a darn good way to play it plenty safe with any aftermarket exhaust system. Link to that thread here