Did the smoke stop? Might have been some oil residue from manufacturing in the new cat. Might want to drive it some more and see if it clears up.
When installing the new cat and installing the o2 sensor, did you check where you screw the o2 sensor in, there will be another test port a little further up the pipe, is the plug in it?

Your"new" amm, was it really a rebuilt? the gumby brand rebuilt amm's are a crapshoot. I've had them bad out of the box.I only get the Bosch ones now.
As far as the "new" o2 sensor, was it a universal? a lot of times the connectors don't get crimped just right and give a false reading to the computer,always best to get the Bosch direct fit O2 sensors.
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-------Robert, '93 940t, '90 240 wagon, '84 240 diesel (she's sick) , '80 245 diesel, '86 740 GLE turbo diesel, '92 Ford F350 diesel dually