What protection can be placed around a magnet when being used in an autoclave environment?
This depends - if the autoclave is only going to pull to the milliTorr level, then regular magnet materials will hold up. Bonded magnets will lose 30 to 40% of their output and will outgas, but after initial exposure it won't get any worse. If the autoclave will pull a stronger vacuum than that, then bonded materials should be avoided.

What's the difference between aluminum and nickel coating other than the physical appearance?
The differences are many. A sputtered aluminum coating is much thinner than a plated nickel finish. Although aluminum is softer than nickel, the coating is not generally intended for anything other than surface protection. A thinner coat creates less air gap, so that is an advantage. A sputtered coating is also "pounded" into the surface of the substrate, so it bonds strongly with the substrate. This is great for adhesive bonding of assemblies. Plated nickel has more "lubricity" than sputtered aluminum, so it does not bond as well. Plating is a surface treatment that can alter surface chemistry; this is a "skin depth" effect that is usually not a problem unless the magnets are very small.

When does Sm-Co require coating?
Sm-Co is typically plated for medical applications to give a "sealing" coat of nickel. This is extra insurance against the rare flake of iron. Nickel can be good insurance against such flaking, by making the surface tougher. It also protects the magnet from sterilizing chemicals and other contaminates.