I have read mixed results but personalty I have not had any issues.
I wrapped a brand new un-coated set of steel headers in a daily driver Camaro and put 60,000 miles on them in year round weather with no issues at all before I sold the car.
I also used high temp paint on a rust pitted set of headers on a Bronco then warped them and also had no issues at all.
After wrapping a few sets I would never attempt to do it on a car. It sucks enough to wrap them off the car.
On the negative side I had a friend a few weeks ago wrap a new set of new coated headers on a Corvette. they turned red hot and the only thing that cured his issue was to remove the wrap. He had a new high performance motor so I have no clue if there were other factors involved.
Recently I had to buy different headers for my 77 to get them to clear my long arms and when I did I decided not to wrap the new coated duff headers because they looked so good.