The more I thought about this, the only thing I think I have read about this, it was so you could tell that only an OEM header was being used. So using a wrap that could be taken off (no matter how much of a PITA that would be) allows to check the header.
HOWEVER, 99.9% of coatings out there would allow for the exact same thing as they are not thick enough to cover the way the header would look. I'm all for allowing a coating or paint? lol to be put on the header.
I would assume that being able to tell the difference between an aftermarket and OEM header would not be hard. Checking diameters, bends, welds, etc would easily point out an aftermarket header. And if it was an aftermarket header and literally looked the same, the performance benefit wouldn't be there to justify doing.