I've painted heat-shrink covering with no problems. You want to make sure your paint is fuel proof, and don't spray on more than you have to. Make sure you scrub off the shine on the plastic first, and get the surface nice and clean. I've found that the flexibility isn't much of an issue, most quality paints can flex enough to avoid cracking. And clean-up is just a matter of picking a good paint or top coat and using a compatible cleaner on it. re-shrinking is more of a problem though. A well done covering job won't sag much at all, but if all your prior covering jobs developed a lot of wrinkles then maybe this isn't a good idea for you.

Btw, if you are going to paint anyway, use a clear or transparent covering. Or pick a color that looks good as a base coat. The clears are much lighter weight than white or any light color. Black or a dark color is lighter than whites, but obviously harder to paint over.