There's no doubt that an impact wrench is harder on lug nuts (I use my air gun to blow things off with compressed air). I'm running a cheap set of wheel locks (why, I'm not sure; this is the first set I've ever run) and after only 5 or 6 uses with the impact wrench, the chrome plating is chipping like mad. I do torque my wheels by hand, but I remove the lug nuts and run them back on lightly with the impact.
Those splined nuts like the OP is using are even worse because they have less surface area in contact with the socket, which point-loads the socket/ lug nut interface. Bottom line is, if you don't want to damage the coating (chrome, powder coat, etc.) don't use an impact wrench. If I was still running wheels with exposed lug nuts, I'd be running stock style lug nuts with stainless steel caps.