well, though i am not an expert to answer you with authenticity but let me ask one thing
when u changed the gear oil, was there enough fluid in gear box or it was empty, normally it's difficult rather awkward position to check gear oil in these kindda vehicles. one has to see through a small glass to check the level or open the gear box lower bolt and if oil is dipping it means there is some oil inside. if it was empty then you might have listened to some echo/noise inside gear box, this thing you have to confirm. if this thing didn't happen, then at least i can say your gear box is okay ( no wear/tear).
i suppose, you have chosen an ordinary air filter that's why this is happening, actually its a good practice to tune CNG (air/fuel mixture) as new filter is sending more air as compared to old choked air filter. i guess, ur car is also consuming more gas these days.
the sound of engine is heavy coz u r shifting at higher RPM reason being CNG tunning is not so good leaving you with no other option to accelerate/run at higher RPM. This thing happened to me also as i dont have RPM meter in my car too, so driver does not take note of RPM.
To sum up, just get a computerised CNG tunning at some good place. don't worry about gear box.
