I've never done it myself, but the cons I've *heard* about for other bikes I've owned with in-line fours are that the wrap traps water if riding in the rain and could promote rust, (apparently some stainless steels can rust) and that the header pipes can get so hot they deform. I can't verify either.
Yeah, if you put more than the recommended layer on, it can trap too much heat and make the pipes glow. Low quality stainless steel can get rusty. Because our pipes are exposed to the elements, the wrap gets abused after a while and looks bad. It is a good idea, old school really, and cheaper than ceramic coating, but just be prepared to replace it once in a while.