If you decide to sand, I recommend a very fine paper and a super light touch and especially light on the edges. 1500 grit. Even at that grit you will see some etch marks through the clear coat. I think it's mostly an aesthetic choice, the lacquer probably doesn't need the keying because this part will never get any wear. But that's just my guess...
On various kits, I've done 400 grit on one transformer bell, 800 on another, 1500 on another, and nothing on these plate chokes. I like the look of 1500 or none best.