I have known two different Harley riders (in the past) who told me after a year (or so) of running wrapped pipes they pulled the wrap off and there were small spider looking surface cracks on the header pipes, from heat expansion and contraction. I did not see this, they only told me this. There is a possibility that air cooled Harleys run hotter around the header pipes than water cooled bikes.
I would imagine if you never pulled the wrap off, even if you had spider surface cracks it would not be severe enough to actually leak, so if you like running wraps all the time then I would think it would not be an issue. I do not know for sure that the increased heat of wrapping will in fact cause this pipe deformation. I only know what they told me.
The wrap does in fact hold heat in though, it's the same effect as when you put on a jacket. I remember from my teenage years (I'm an older fart), the old dragstrip cages used to wrap their headers to increase the immediate combustion chamber heat in drag racing. It would self defeat itself in oval racing but in drag racing it give optimum performance off the line. They said it helped suck the exhaust out.
Anyhow that's all I know about it. If you want to run wraps all the time, then I'd go for it. The worst thing could happen is you might have to buy new headers. But as many folks on here that wrap them, I doubt you would ever have any problem.