the stock downpipe off the turbo has heat shielding on it to protect excesskive heat on the firewall and insulation pad. They get extremely hot under load.
When you replace that with an aftermarket downpipe like the Diamond Eye you lose the stock shielding, so the pipe wrap becomes pretty much manditory unless you remove the firewall padding also. Plus the heat wrap keeps the exhaust moving better in the pipe. There's no real disadvantage to the wrap, so why not use it?
Jody