I wrapped my Invidia DP a long time ago (like over 30,000 miles ago- over a year and 1/2) and it still looks to be in good shape. It's not the wrap, itself, that causes the corrosion. Rather, the wrap will hold moisture in between the metal and wrap, creating a nice environment for rusting. However, if you drive the car everyday, the heat will quickly evaporate whatever water is under the wrap. Rust shouldn't be much of a concern in a daily driven car. The cars that are stored for winter (why anyone would store their AWD STi in winter is beyond me, but it happens) would probably be the ones to have problems.
Another thing is that most quality aftermarket DPs are made of 304 or 321 stainless, which has a MUCH lower propensity to rust than regular exhaust pipe steel.
The only other thing to consider is heat related fatigue. When you wrap the DP (or headers), the heat is essentially 'trapped' in the metal. This will shorten its life and eventually cause cracks. How this translates to real world life-span is a guess (as I stated above, mine looks fine).
Wrapping the downpipe (along with the StaticX turbo wrap kit and modified stock heatshield) has DRAMATICALLY cut down on underhood temps and subsequent intercooler heatsoak.
Just be aware that you will eventually have to rewrap the DP, as the heat wrap will degrade/rot after a period of time and use. It took me over a year before my wrap disintegrated.
Bryan
EDIT: Xman: that flash vid was great! I agree, I think every new forum member should be REQUIRED to watch that before posting.