Any coating on the calipers will retain a bit of extra heat, paint, powdercoat, etc. - Its all an added layer keeping heat in. Would I worry about it personally, not for a second.
Just my $.02 - On my truck I wire wheeled and throughly cleaned my calipers with mineral spirits and alcohol. Then I painted them black with Rust Oleum oil base black paint years ago. I have had the calipers, the carbon brakes, and the powerslot rotors absolutely stupid hot quite a few times to where it was having major brake fade. The caliper paint is still in perfect condition. The overall prep before paint wasn't bad and was the same as I would do for anything else. Other peoples results may vary but I am relaying my personal experience. A bucket list item for my truck is to change out the brake system. I just haven't gotten around to it. Carbon brakes work well but only when everything is really, really hot. They are not very good when they are cold.