The "E" in 4T45-E, the designation of the trans, stands for "Electronic". It is controlled by computer.

Wheel speed sensors only connect to ABS/TC.

The output shaft speed sensor on the trans provides the data to the BCM for vehicle speed.

Are you checking the fuel pressure at only idle? I am thinking maybe a clogged filter screen starving the injectors at high speed.

After a P0420 there should be a freeze frame in the computer, it may not tell much, but it might.

Thanks Oldblue. I'm learning this car for sure.
Ok, here's an update as of this morning 6/18/17. I did both compression check and a leak down. All cylinders held compression just fine and I detected no leak down. So my next step is change tranny screen. I have notice when I drop into LOW, and then into I (not sure what that stands for) there seems to be power but once I go back into the DRIVE option the car becomes sluggish and on OD.

From the owners manual:

I(Intermediate): This position is also used for normal driving. However, it reduces vehicle speed without using the brakes for slight downgrades where the vehicle would otherwise accelerate due to steepness of grade. If constant upshifting or downshifting occurs while driving up steep hills, this position can be used to prevent repetitive types of shifts. You might choose I(Intermediate) instead of D(Drive) when driving on hilly, winding roads and when towing a trailer, so that there is less shifting between gears.
PERFORMANCE SHIFTING: If the vehicle has this feature, it can detect a change in driving patterns while in the Intermediate position. If you make an aggressive driving maneuver, the vehicle's transmission automatically shifts to the lowest possible gear to maximize vehicle performance. The vehicle will automatically return to normal operation when you return to normal driving patterns.

So I changed the trans filter and fluid...having same issue. Not a lot of power yet I have noticed something that I was only able to do on an empty highway. Even though It take up to 3.5K RPMs for the gears to change I have noticed that if I can get the car up to 65 or 70 and I ease up off the gas paddle the OD will kick in but there is no power to maintain speed. So it seems I'm back at look at the engine that also appears to be running optimal.
Is it normal to have a strong smell of exhaust coming from the back of the engine even though the exhaust pipe is connected?

Sounds to me like a cracked or damaged flex pipe from the back of the engine to the cat, that will create the smell of exhaust and create all kinds of performance problems.

Check your TCM connections, look for bent pins, loose pins, corrosion and such.
Also check the ground connection at the front of the transmission just down to the right of the oil filter cap.

Check the flex pipe,

https://www.chevyhhr.net/gallery/fil.../7/b_35144.jpg

It might look like this when you get it apart


https://cdn.carcomplaints.com/compla...abd56764er.jpg

First mention of odor, yes a good point! Especially with a noise.

Would also explain the P0420.

Well, I have taken it to a regular mechanic with no affiliation and talked to another ex Chevy mechanic and both are perplexed as to what this car is doing. No one can say for sure if it's the engine or the tranny. We did confirm that there is a leak at the flex pipe as OldBlue mentioned. If that's the culprit then I'm not understanding how exhaust could cause this issue regardless of the car being hot or cold. SO...looks like I will have to do what I have been dreading all along, take it in to the dealership and see how much they are going to hit me for just to tell me what's wrong with it... :( Until then I'm still up for suggestions.

I've experienced this in my HHR, as have many here.

Well it's less then eight years old, if it's under 80,000 miles the flexpipe is part of the emissions warranty

I don't see why a dealership needs to be involved