Cooling air thro' an intercooler is relying on heat transfer across the surface.
If the paint is more of an insulator / bad conductor than the aluminium then painting would make it less efficient.

If applying paint made them more efficient then they'd most likely come painted from new.

If you want to go to the Mythbuster level of analysis, then applying paint will reduce the gap that the air flows thro' by a few microns meaning less air available for heat transfer.

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