Basically nothing. It does reduce the rust appearance over time and it MAY reduce some of the exhaust heat, but there's so much heat being given off anyways, it would be hard to tell the difference. The coating will probably not be a gloss black finish, so the dull grey will be as fancy as you'll get
I had the headers done on my Cheetah and it does cut the heat, check out Performance Kote Ceramic Coating in Orlando ---- I'm not connected to the company in any way -- they did a great job on my headers