Won't destroy them any more than non coated strings. The color may come off a bit but that won't affect the tone. The coating between the windings is more important to keep grime out and that area is protected from the pick by basic roundwound design.More likely will strings lose their 'newness' with fingers than a pick. I'm speaking more of DR strings but as far as Elixirs go, the coating is more plasticy and 'over time' will tend to 'peel' a bit and leave fragments hanging off.
If you use a pick more, go with DR or if you're more of a finger user, use Elixirs if coated srings are your thing.