I looked through a lot of posts when I was working on WRD in my car. Based on what I read I did apply sealant between the thermostat housing and the WRD valve housing. This was, as you say, to protect valve from coolant dripping in as coolant may make the valve area corroded and the valve would bind eventually.
Where the WRD valve housing attaches to FIP - I used no sealant, there are just oval shims there.