Exhaust coating

No , there's no issues, unless its rusty and the sand blaster makes a hole that's already there show up. if you're going to high heat paint it , Its going to burn off. if you mean some type of high heat ceramic coating. sandblastings fine, but its expensive. really nothings going to hurt it. I find that most of the time its fatigue make cracks or the bellows crack from flexing, less then rust on a downpipe. I use high heat paint on new exhaust pipes and it helps a lot as long as it doesn't burn off. like on the converter back, but down pipes I weld sometimes after ther crack out, but It usually only gets me through a winter usually.