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I've managed without colour coded allen keys for over 40 years so I reckon that sleeve interference is reason enough not to buy a set and stick with the "boring" ones.
I'm going to get a set of the shorties for on the bike I reckon and just see how they go. So long as I remember not to put one in the feedbag pocket which has a fucking hole in it (why?!) I should be ok for a few years :)
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It's not so much the sleeve, but the round section the sleeve sits on, the coloured ones are nicer to hold, a little less likely to bend and you can get the little retaining BB at the ball end, which is nice. But I'd just go with the standard ones, they're very reasonably priced and the best bit about any of the wera ones is the shape of the ends and the resistance to rounding bolts because of it.
Dunno about the stainless, not had any issues with rust but they're not used outside. I think I prefer the basic not colourful ones, probably not an issue for occasional use but the covers do come loose, you also can't use the 2 or 3mm coloured ones for certain tasks where the bolt head is hidden as the fatter round part gets in the way, the 3mm pad adjuster on spyres and similar brakes and maybe the 2mm grub screw to fine tune the angle of Shimano front mechs from memory.