My theory is it 'disintegrates' due to thermal expansion, in particular differential expansion. When one surface has 800deg C air blowing through it and the other is subjest to air blowing past it at 60deg C you can understand the thermal stresses in the metal. If you coat it and wrap it you have more uniform temperature in the material, and more controlled cooling when the thing is turned off...rather then effectively being air quenched every time the thing cools down from being red hot.
It does mean your ultimate operational temperature is higher...but I think the rate at which you heat everything up also matters a lot. I usually have a warm up lap or two not just for oil and coolant and brake temps etc, but to let the manifold, dump etc all come up to a nice hot operating temp....i suppose that only matters if you are running aftermarket crap on your car like me ....