Dont have first hand experience myself, but I have heard numerous times from loads of people that header wrap can cause premature cracking, and everyone I know that has put headers on any car has never used a wrap so take that for what its worth.
I had my 6.4 single kit exhaust wrapped never had an issue with rust.. your talking 400-1300 degrees for hours and it's like fiberglass. Not sure how the moisture would collect on it? I know if you exhaust wrap stuff that isn't covered it will rust because the rain water collects on it when it isn't running. Only time your headers should see rain is when the trucks running so the water should evaporated almost instantly. But on the coating side it sure looks a hell of a lot better