The more heat you can retain pre-wheel, the more effecient it'll be, as the not only does the velocity of the exhasut stream move the wheel, but the expansion of the heat within helps to "push" the wheel, to put it simply.
I would also *think* that by having a blanket, it will cool down slower after you shut it off, so that your housing (cast iron) can live longer w/o cracking and such, but that is probably more for internal WG units...
But yeah, it also helps keep the radiant heat from travelling into the engine bay, further reducing underhood temps.
Like to get one myself, but I wouldn't pay $100 for one.