Here is some info from Jet-Hot (I have their Extreme Sterling coating).
http://www.jet-hot.com/techinfo.html
The surface temperature on my coated steel headers seems to be noticeably less than on other cars with painted headers. No fancy measurement, just holding my hand close. (I guess I could buy or borrow an IR thermometer.) I understand from conversations on this and other forums that SS will hold heat even longer than steel.
Jet-Hot sand(?)blasts the headers prior to coating to maximize adhesion. I would think the coating would adhere to SS as well as to steel, but that would be a good question to ask the coater you choose.
Rodger