Woltz makes a fair point. I probably should have added "traditionally" or "typically" to my previous statement. At the end of the day, the builder can finish or not finish what they want or don't want. No real right or wrong there.While I'm not at all disagreeing with McCreed. There is one guitar company who I believe also lacquer their Rosewood fretboards.
Further to this, Fender and other mfrs spray the entire neck, frets and all, then remove the clear coat from the frets when cured.Also I suspect you do have a maple fretboard and you're actually asking whether getting finish on the actual frets is a problem. As far as I'm aware when Fender finish their Maple necks they just spray over the frets as well.
To mask off each fret would be ridiculously time consuming and costly in a production scenario, so it's quicker and cheaper to just remove it afterwards. Also, masking them would present its own set of problems.
There are different methods and approaches people use and it's entirely personal preference to what works best for you. Some will remove the clear coat in the first stage of the fret levelling process, but I prefer to start my levelling with clean frets. FWIW, I have also done my levelling pre-finish. It depends on the circumstances of the build really. Again, no right or wrong...