A smaller back sprocket will make it a little worse for taking off from a stop and seem like it has a little less power up to legal speeds, but with lower rpm for less vibration and better gas mileage in top gear.
The other mods will give you a little more power and more noise.
A better suspension and a better seat is where most start, especially for a budget 650 like this.
Some also relocate the footpegs and change the hand grip locations, for either more comfort or for racing. Also consider adding an aftermarket windshield for more comfort on longer trips.
I am a believer in adding a K & N brand oiled foam prefilter while adding an oiled cotton K & N air filter- your engine will stay cleaner inside and this oiled foam is easier to clean and reoil more often, while cleaning the oiled cotton less often since most of the dirt will get trapped at the outer foam.