I could understand it when someone applies this wrap to an exhaust header that may burn the leg.
I had burn holes in my jeans from the the rear cylinder header of my Intruder 1400 which I changed to the right side to join the forward header.
But in your case - a CBR250R - the header is not in the way.
Cosmetic reasons? I always thought this wrap looks rather ugly, a stainless pipe looks way better!
But you wouldn't be able to see it on your bike since it would be covered by plastic.
My motto is: If I don't need it, I don't buy it!