Holding in the exhaust heat keeps the energy in the exhaust (as the exhaust gases cool, they loose velocity). It is common for turbo charged sports cars to "wrap" the headers, up-pipe, and hot side of the turbo to keep the energy in the exhaust instead of dissipating it out as heat and hence keeping exhaust velocity at its highest.
As previously mentioned, this results in slightly quicker turbo spool. Faster turbo spool means you get "on boost" quicker in the rpm range and minimize turbo lag. It also keeps engine bay temps lower.
I have never done this on the duramax but on my 2003 WRX (stage 2 tune with up-pipe, downpipe, full exhaust, intake ), wrapping the up-pipe, hot-side of the turbo, and the downpipe results in getting on boost about 200-300 rpm earlier. My wrapped parts have been wrapped since 2007 and are still solid but these are not stock pipes, they are made of Inconel which is much more durable and corrosion resistant than typical stock material.
My take on this is that it is probably not worth the hassle in this truck.
Hope that helps.
Last edited by coloradoninja; 04-24-2017 at 08:15 PM.
Reason: additional clarity