Chris,
What you were told is true. The Ceramic coatings are sprayed on. They can only get so far inside. However that is not a problem.
The problem with header wraps is thay they trap moisture and heat. The rust will start between the wrap and the header. The wrap will destroy a set of cheap headers in very short order.
With coatings there is no way for moisture to get between the coating and the header, so there is no rust issue. There is not much moisture sitting inside a header, what little does form is quicky burned off when the engine is started.
If you want to see what header wrap will do, just put a wet blanket on a piece of plain sheet metal let it sit there for a few months and see what you have. It's the same effect as trapped leaves in the lower fender area, that's where you always see certain cars with rot. The reason is the trapped moisture.
Royce