I was told by the head guy at the paint shop that they spray the headlight housings separately because the clear coats will "bridge" the gap between the back of the headlight housing and the front of the fender, where the two parts contact each other.
From examination, my car had been painted twice when I received it, once from the factory and one afterwards, in a gold color. I can see, from examination of the disassembled parts, that the car was painted at the factory with the headlight housings bolted in place. The paint surely did "bridge" the gap, to the degree that the number of coats of primer and paint at the factory could.
I believe the concern by the paint shop with this repaint is that much more material is used during their paint application process, and as such, more bridging will occur. I don't think color coats are an issue, but the clear coats are likely much thicker than the factory paint coats.
Anyway, they are going to do it how they feel is best. I just hope the paint doesn't "crush" and "move" (like it did in on one or two spots on my other 240z) when they bolt the headlight housings to the fender, as there will be a certain thickness of paint on both the fender front edge and the headlight housing back edge, and these will come into contact and compress when the headlight housings are bolted into place.
Crossing fingers that they are completing the work this week, and that, if it matters in their shop, the weather cooperates on the day they spray the exterior of the body.