I do not know the effects on airplanes, however on motorcycles wrapped exhaust was/is a style kind of thing. Problems are more related to moisture being either held or retained on the exhaust pipe and then cooked off during heat cycle. (motorcycle exhaust is exposed to water on the road and during washing much more so than an airplane) Not 100% sure of the how, but what is happening is the pipes end up rusting from the outside much quicker (even when chromed). Vibration + moisture+ heat all rubbing the outside of the pipe = rusted pipes. It seems much worse on the header part where the most heat is. I think if you can shield parts you want shielded you would be better off. That being said if you don't wash or get the wraps wet, it may not even be an issue.
Mark