Most if not all 4WD cars do understeer, it is part of the characteristic of torque distribution between the front and rear driving wheels. Most Porsches do not understeer, but the C4 and the C4S. Their understeer is very understated however as they can mechanically distribute up to 95% of the torque to rear wheels and have 60% of their weight on the rear.
The STi and Evo have 60% of their weight on the front, which is not the most desirable thing but they have done such a good engineering job that, unless you are at the limit, that weight transfer is not a problem. This is of course for road courses and not rallies. The driving style is quite different between the two.
Also, the driving style between a 4WD, front-wheel or rear-wheel drive cars is quite different as well. In a 4WD car the most effective method of cornering tight turns is to slow down before turn-in. Once you are at the appropriate speed, turn exit is much more controlled and faster than that of other 2-wheel driven cars. In Rear wheel driven car, it is easier to get in to a corner with higher speed, scrub speed of by loading the fronts, then applying throttle to shift weight to the rears and slightly oversteer the car for exit. This usually proves having a slower corner exit but more controllable and comfortable.
In a 4WD, if you enter a corner too hot you will get the notorious mid-corner understeer, in which the only way to recover is lift-off throttle and reduce speed, which would loose you even more corner exit momentum. It is very difficult to induce oversteer in a 4WD car, thus the reduction of speed in mid-corner being the only solution. Hence the importance of turn-in speed
Setting up the suspension of a 4WD is also much more difficult than a rear-wheel car for example, because the car is a front and rear-wheel driven car

So, you find compromises in either setup choices, it is almost like "all-season" tires if you don't mind my expression. I am not experienced on 4WD car suspensions, so I will not put in mis-information here on how to setup with aftermarket products.
However, as its has been suggested, the best way to go about it is to wait and learn what others are doing at the race track (which is the primary reason I am on these boards right now). Also, front camber adjustments are very helpful in cornering, but one has to be careful not to compromise straight line stability by going overboard. Obviously, one way is to have camber plates with easy adjustments depending on the occasion, but if any racing is performed with the car, you will have to check with the rule book if it is allowed. For example, in SCCA autoxes, a camber plate will immediately put you in to the "modified" or "street prepared" class
