Yes, it will affect the light output to some extent. Even if the coating is clear, it will have a different refractive index than air. And through the lens and reflectors, the light will change. Besides, it will also affect the heat dissipation performance of the LED.
If you must use a coating, you can choose a ceramic package, which dissipates the heat better. And then keep the coating as thin as possible.
More reading: Comparison of LED PCB packaging with different materials