I'm not sure about 'headers' but with my extractors I was told by a Sydney coater to use them for a period before coating. The downside was that a cost of $60 was added by hpc to clean them before the coating. In terms of pre-coating requirements I suggest you call hpc and ask. In terms of the build I would first run the car and have them coated later otherwise Murphy's Law will come in to play.
Also, I'm a little bit sorry I had the aluminium finish I think I would have the grey if was to do it again.
Ceramic coating exhaust - yes/no?