[NicknamedBob]

Thank you for “The Paws of Fury—Stage I”! (Common usage has changed since elementary school days here. Should the exclamation point go after “I” and should there be a comma after “for”? Etc.

In my usage, avoiding confusion is at least as important as alleged propriety, so yes, put the exclamation point away from the capital i.

And again, in my usage, use the comma to separate the object of the quotation. It's optional, particularly in this instance, but it also helps to distinguish that you're taking the comment in a different direction.

Writing is different from speaking, but we get our clues from the way we speak. If a minor hesitation improves clarity, then it's useful.

[Silentgypsy]

Thanks for the assist, Bob!

[Tax-chick]

Imagine that your title "The Paws of Fury - Stage I" is italicized instead of in quotes:
Thank you for The Paws of Fury - Stage I!

Now it's clear that the exclamation point would go outside the quotation marks. That's a difference between indicating a title and recording a quotation.

"Today we saw The Paws of Fury - Stage I!"

[null and void]

“The Paws of Furry—Stage 1”