thermodynamic efficiency
The internal combustion engine is a fancy air pump and follows the Otto cycle for the pressure vs volume relationship. in such a cycle the cooler the intake vs the hotter the exhaust will increase the thermodynamic efficiency of the cycle = more power. The hot exhaust flows better and faster through the hotter pipe.
Racers have been using exhaust tape for many years to keep the heat of the exhaust in the pipe. The tape is good for a couple of horse power, but causes all kinds of other problems (overheated metal, cracks, traps water) and is just not worth the problems on a street car.
Ceramic coating a header will also keep the heat of the exhaust in the pipe without all of the bad problems of the tape. They coat the inside and outside of the pipe so that the metal is well protected.