I use McGard Splinedrives on my Paseo. I would not hesitate to recommend McGard.
I had Gorilla on before them. Corrosion inside the lugnuts was a minor issue.
As for protecting the finish, I seen videos online where people would take plastic grocery bags, put it over the lugnut, and then put the lug socket on.
As for powdercoating the lugnuts, the thickness of the coating might make the lug socket not fit on the lugnut.