This is true, but if you buy a quality part in the first place, it shouldn't be much of an issue. If however, you were to wrap any exhaust component, and have a weld fail, it almost always voids the warranty. As I said, shouldn't be an issue. My header has been wrapped for a few years now with no issues.
I suppose if you are really worried about it, don't end your wrapping near or on a weld. Either wrap past it for about 6" inches or stop 6" inches before a weld. This should minimize any crazy temperature swings over a weld area that could cause a crack.
You should be fine though.