Generally power coating is a stronger finish than paint. That said, I have black painted wheels, and other than curb instances I was able to repair myself, I really have no scratches or damage. If you curb your wheels, powder coating won't protect them, curbing actually removes wheel material...and whatever is coating that.
I think generally powder coating wheels would be $125-$150 each wheel depending on color. That's a pricey change for something that COULD occur.
Machined natural material wheels of course have no coating to scratch or damage, but the natural metal could be damaged in the same way.
IMHO, stick with the painted wheels, worry about any damage if it happens. A painted wheel can be worked just like any painted surface. Repair, correction, ceramic coating, etc.
A Guy