The coating is most likely powder coating, and if you are just tacking/stitching with those fixtures it won't really damage it. but it will slowly discolor and yes if you get it hot enough it will burn off and smoke but the smoke coming off it probly isn't much worse then er70s-6 most hobby welders use and is probly less harmful then cheap FCAW wire that hobby welders like to use aswell.
And main reason they probly use powder coating is because it's cheap if they made the same fixture out of let's say stainless or even got it electroplated it would cost easily double. Downside to both is spatter will stick to it so it's almost better to be powder coated.
The best weld fixtures for jigs is high grade aluminum with milled finish nothing sticks to them they can take some heat when you ding them you can just file them flat only real downside is you can't use them to brace a part for welding out. Nothing beats a good strong welding table to tack too. Or tacking in temp bracing.
I use mostly scrap angle iron for making jigs and bessy clamps and a 1-1/4 thick welding table. Can't go wrong with simple. But I can see the appeal of the premade stuff that Amazon sells to diyers it's very cheap and if your only doing small stuff most of the time can make your projects go easier. I got a few house magnets running around and for light tacking and eye ball type squaring.