Thanks for the replies; I'm leaning towards painting just in case there's a problem, and leaning that way further now.
Good idea about heating them to gas off impurities; I doubt the powder coater will do that so I can take the wheels away and paint them, but I could probably do that in my oven (or maybe not). From what I've read on mag, annealing it and letting it cool is required after machining or cutting to avoid stress risers, but nothing I've read on the topic so far talks about impurities, or whether mag continues to out-gas or blemish if painted. I know of a set of Halibrands that showed some blushing after being powdercoated clear, and the clear actually yellowed; maybe that was the mag continuing to degrade or affect the clear?
They'll need to be color-coated I think because of the stains, and I'm thinking a flat or satin clear over that for protection.
I'm going to refinish the aluminum rear wheels the same color, but I'm not expecting problems there.