Since the body of the mod is the return for the battery ground, any paint over threads will cause arcing, which will burn or shock you. Plain steel wool is probably not sufficient to clean the threads if the paint is good. You need a dremel with a wire wheel brush, and even then it will take a while to get the paint off. You do not need to do this to the threads of the locking ring but you do on all the other male and female threads. If your atomizer has painted threads, you do need to do them, too. The atomizer threads being painted will probably not burn your hand since you are not touching it while vaping, but the atomizer body will quickly become blazing hot.
I agree that this is a stupid oversight by manufacturers. In the future, never buy a painted mod or atomizer unless there are detailed pictures showing that the connections are not painted, unless you are resigned to cleaning them off with a dremel.