Shouldn't matter with most sharpening stones. Since most of the sharpening will be done on the already-bare bevels, there shouldn't be enough coating coming off to be a problem. If the stone is lubricated with oil or water or whatever, that'll also minimize what 'sticks' to the stone, and it'll be simpler to clean. With something like a fine white ceramic, you might notice a little more streaking left on the hone. Even then, just keep ceramic hones clean, as you would with any other blade. Ceramics clog more easily anyway, regardless; so, they always need to be kept clean to remain effective on any blade, coated or not.
If you use a strop with compound, you could lay the blade a little lower on the strop; it'll gradually polish away some of the coating above the shoulders of the bevels, over time. Pretty much happens by default anyway, on such strops.
David