I wrapped my starter and the part of the header immediately near the starter.
I don't like having headers. They make everything hot. I don't believe in bullshit coatings. That's saying I'm committing myself to one set of headers for life on my garage queen. Our cars have a parachute for an engine bay. Work on getting heat out of the engine bay. If you have headers you should have heat extractors. That's the serious answer to managing heat. Anything else is a waste of money.
On a turbo car, you do wrap. The pressure delta across the turbine wheel goes up exponentially, the hotter you are at the nozzle. You hold the heat in, you get better spool, better boost holding capability at higher turbine speeds, keeping you in a more efficient place on the compressor map.
Heat is a tool. Can you bend it to your will?