Every once in a while take a peak under that header wrap, that stuff likes to hold moisture. Even if you get it good and hot it can sometimes stay damp. Past experience with the Harley crowd, working on bikes that had header wrap showed some nasty corrosion under some wraps. It just may be the type they used, but I'd check it anyway. That's a nice header and wouldn't wanna see it get ugly. I was going to wrap my turbo manifold to keep the heat in but I've found the heat retention qualities of stainless are so good it's not an issue or even recommended.
For your exhaust, I like aluminized mild steel exhaust tubing, it really is corrosion resistant and cleaned thouroghly and painted with a good header paint ( I used a ceramic based spray)  it really does not rust or corrode either.

 You cant peek under it.

If you apply the wrap properly it will not absorb water, that is entirely the reason for the coating. You saturate the fibers of the wrap with the coating which is then baked into the coating that was applied prior to the wrap, it makes it one solid composite.

I made sure that plenty of the coating was applied between the tubes/collector on the welds prior to wrapping in case any water does make it under the wrap.