I don't think the powder-coating process is going to affect the strength of your rims in any measurable way. I've had my rims powder-coated twice.
Depending on how your rims were made (eg. forged vs cast), the process introduces a lot of stress fractures into the metal matrix. These fractures actually make the metal stronger, but more brittle. They can handle a harder impact, but when they fail, they'll fail catastrophically.
Heating the metal (called annealing) will actually repair those stress fractures by allowing the metal matrix to reform. You need quite a high temperature to do that, but it makes the metal more malleable. The metal will be more "elastic" and bend/contort more, and less likely to fail catastrophically. Basically, it becomes "softer".
I haven't researched what kind of temperatures are required for a given rim to begin the annealing process, but aluminum (soft metal) needs temperatures of around 650ºF - 775ºF (depending on type) for 2-3 hours. Steel needs temperatures between 500ºF - 760ºF (depending on alloy).
So, we're talking about temperatures and times much higher than what rims would see in powder-coating. Ultimately, it's your decision, but if powder coating was an issue with rim strength, I'm sure we would have heard/seen lots of issues by now.