I'm a PC modding newbie, but I'm an engineer of 20 years.
The usual practice to protect threads is simply to put some screws in, and leave them there through the process. Then, score around the screw heads with a craft knife before unscrewing.
Powder coating uses plastic, which will insulate your case against heat. I.e. it will make the case less able to transfer heat away. Not much, but maybe enough to make a difference.