I ran some wrapped thrux headers on my bonnie for a while. I didn't wrap 'em, I traded my bubs for the thrux headers and preds and the previous owner wrapped the headers. I was too lazy to take it off.
I had an exhaust stud shear off at the head. Was it because of the wrap? Dunno. Carlos at TPUSA said something to the effect of he's seen a few broken studs like mine, and most of them occurred on bikes with wrapped headers. It was a pain in the ass to get the stud out. I had to remove the head and take it to a machine shop to have it spark eroded out. Lots of my time and $50 to the machinist, and another $150-200 in gaskets later and it was good again.
Now I'm running D&D 2-1 pipes, no wrap, no more. Plus I think it looks like shit, just my opinion. No matter what, it fades, gets filthy, comes loose, holds moisture, stinks, gets fiberglass fibers on your hands when you touch it, and there is no cleaning it. I think it's a look as played out as other fake "old skool" cliches like flat black paint with red rims, again, just my opinion