Yes, and it's not from retained moisture, its thermal fatigue thru exaggerated expansion contraction cycles because it allows the header to operate at much higher temps, and it promotes high temperature oxidation which is and looks much like rust.
I would never use the stuff on anything I felt was valuable.
Try the heat shield, it hurts nothing.

Reality check, that half the population is smarter then 50% of the people and it's a constantly contested fact.