You are going to have tight fitting wheel pants. Will anyone see it except you when wheel pants are off? You have free or low cost powder coating capability, so. up to you. Someone mentioned weight, sure. The biggest offender of aircraft takeoff gross weight, for me is above my belt. So what is rim powder coating weight penalty? Not much. Weight reduction is very important, but this is not going to be a big offender. If you do it, take before and after pics and post it. Love to see it.
I don't have to tell you bearing areas, mating surfaces, screw holes and threads, should not be coated. The worst thing I can make up, you may chip coating while changing tires? Oh and heat. The rims and brakes get hot. I think powered coating can handle it. Don't underestimate how hot brakes can get, which in turns gets the rim and tires hot. ALSO if you have brake fluid leak how will powder coating do with brake fluid? You may want to test it. My guess it will be resistant to heat and brake fluid. I say resistant but not impervious.
I really don't see a legit problem, I am grasping for CONS. If you have the capability, do it, but in general I would warn against deviation from plans. It adds time, cost and weight and often has nil benefit. In your case you have the capability. So ask yourself is it needed? Sometimes the answer is no but the builder wants it.... beauty of building. It's your plane. Up to you. However you should tell yourself no sometimes, because this will not be the last timre you consider doing some bonus add on idea you have. Less is more often in building.