In my mind there is nothing like the clean look of aluminum. I've had my 1991 MK2 since new, 24 years, and the pump looks great. Recently rebuilt at Diesel Fuel Injection Service in Portland, Or.
As noted, if one is operating in a salty environment, it might be reasonable to paint the pump. I, however, would opt for something like Tectyl 506 anti-corrosive that can then be easily washed off with mineral spirits at rebuild time.
If it's the "look" that you are after, then paint away !!!!