The dealer shouldn't say anything about paints on the caliper, but it has to be done properly (so you don't damage the calipers).
You can even ask your dealer to do it previous to delivery, I've heard that most of them charge 150$ - 200$ for the job.
Do a
on the forum, other members have done it.
With my previous cars, I did paint the caliper black myself, and even manage to do a pretty good job, but for the red ones, I'll have one of my friend do it for me.
Was wandering about changing my stock brakes to MPBBK, but I'll just try to find rear BBK in red, and have my front caliper painted to match.