I can't complain about parts guys too much, I know they can be a great help. If a parts guy gave you the info, it may be dated info, ie relates to the previous type of coating.
No harm will come if it is removed. In the shop, where we are striving to make good time on a repair, if we are told we don't need to remove it, by all means we will not, we are "losing" time if we do.
If however you are nervous and want to remove the coating for some reason, here is what I have found:
Usually for some odd reason, one of the rotors will have the parts sticker on it (part number, etc). almost always it is on the contact area of the rotor. This of course should be removed. To remove it I soften the paper and glue with brake clean and scrape it off with a single-edge razor blade. The gray coating seems more than happy to come off as well. I would say if I really wanted to remove the coating I would try to scrape it off with a single-edge razor blade first, and if it seemed like it was unwilling to come off with just the scraping I would use a little brake clean as well. The rotor is very hard steel, the razor blade shouldn't affect the contact surface in the least.