I'll jump in as a Paj owner (NP DiD).
WDH is a must per the owner’s manual given the ball weight.
Airbags are also worth it as they add strength to the rear and support the rear springs. A WDH is good at levelling the weight across car and van axles, and lessens the Paj's nose up attitude that comes from a load and heavy ball weight and independent rear suspension.
Have a look at Bushskinz.com.au for good prices on Pajero suspension and body protection upgrades (no afiliation). Also look at teh Pajero Club of Victoria forum for anything Paj.
My Paj was stock standard when I got it which was fine for city work and towing a box trailer. I then went to an off-road camper trailer. the standard suspension was tired by then (110,000ks) so I added Lovell HD 50mm front springs (diesel, dual battery, alloy bar, steel bash plates all meant HD was the go) and 50mm SD rear springs with poly airbags (SD Lovell is more like medium duty compared to factory springs). That gave a good compromise for unladen work and add air to the bags for load and towing. that was a good solution for the CT. When I upgraded to a Swan OB, I found when the Paj and Swan were fully laden for a family of 5 on a big trip I was too nose up again even with the Polys (but by then I’d also added draws, fridge slid & cargo barrier, plus a 60ltr gas tank for diesel gas). The SD rear came out in favour of HD rears, along with Polys. That worked well with the Swan laden. When I went up to an Expanda 16.49.1 OB it worked fine on my trip back from Sydney when I collected it (unladen car and van). Once a load was added however I was again too nose up. Now have the WDH. That means I can drop the Polys from say 30psi down to 20psi for a more compliant ride.
Now I’ve tried a WDH, I wouldn't go back.
***
Edit: also look at the Airbagman airbags - same as Polys however they do a kevler sleeved one which will take substantailly more air pressure - if i had them with my SD lovells, I probably wounldn't have need to go to HD lovells.
***
As to chip or exhaust, I went chip first (Tunit brand). Decent improvement although lots of black smoke when under load ie. putting the foot down when towing uphill etc. I then added d-gas (scored an Ecoshot system and tank for a price I couldn't refuse, the rebate covered the installation). Great improvement for towing power and economy (although you lose the dicky seat space). Exhaust will be next as this one is wearing out now.
Time over, I’d do an exhaust first. I'd look at a d-gas system (or the petrol vapour system of Chip-it) as the second option. Chips add more fuel to the system for power (and has an economy benefit for normal driving flowing from the improved engine response). Exhausts make a car breath better for power and economy without altering fuelling. Likewise an intercooler upgrade improves power an economy without altering fuelling. Second option. Third option would be a D-gas or petrol vapour system which adds a small amount of vapour into the air intake to act as a catalyst. That means closer to 100% of the diesel is burnt, equals more power form the same amount of diesel, economy benefit from less throttle and less emission form less fuel and cleaner burn. Diesels normally only burn around 80% of the fuel. Chips just add more diesel, so power yes, economy in certain circumstances, emissions no.
A chip would be option 4. If I was adding a chip, it'd also be Chip-it (or Steinbauer) - those brands read more information from the engine than the more basic DP Chip / Tunit chip. Chip-it are Australian made and cheaper so I'd go them (no connection).
Chip it also do a chip / exhaust / petrol injection package. The petrol vapour injection system takes up way less space so you wouldn't loose the dicky seat space or need the false floor, and no false floor means you’d be able to add a long range tank underneath instead. As petrol vapour is a better catalyst than LPG gas, less of it is used meaning a small 5 ltr tank is under the bonnet, rather than a 30 ltr plus tank in the dicky seat space.
Anything to free up the standard engine and getting it working better is preferable in my view – exhaust, intercooler and vapour injection over chips.