I wrapped the last setup I did. The issues I found with it is that they hold moisture in and against the metal. Which results in faster oxidation of the metal. It also didn't hold in nearly as much heat as I had hoped.
I guess if you park your car outside I could see how that could happen quite bad. I think painting with VHT High Heat paint and then wrapping them after break in would help the issue. A garaged vehicle would have less issues than one that is not.