I believe fully that the step nut gets "enough"... But there are two things here.
1) As I said, the nut is a hex nut, which "cuts" the paint in a circle and will likely lead to corrosion.
2) The hole in that nut which isn't completely filled with bolt really needs to be filled with SOMETHING, as moisture is going to get in there and corrode, I'd think. Maybe that's not as big a concern.
I don't think that painting the nut would solve it, as you say Ryan. It'd get scratched up pretty well during installation. Maybe I'll fill the gap with RTV and hand enamel it black.
But my biggest concern is really point 1. And I don't think we'll see how bad it is for a while. But I believe that riding in the real world, in 2 years it's not going to look real good around that nut.