People paint the roll cage for the same reason that people get deviated stiching. Contrast. I actually find a flat black cage the most obtrusive... The cage in my car is painted a light elephant grey and you barely notice it. My dad's cage is painted in the exterior colour (Volvo T5R light yellow) and it really stands out. I think with a black interior a painted cage looks great.
Matter used to make Porsche's roll cages for them (they were also thinner than many series allowed, but because they were "Factory Roll Cages" they were allowed. Just a little bit of underhandedness and rule bending. Matter Cage's were always white. I guess it's just a tradition that has lived on. Also when you buy a race car from Porsche it comes in white.
Stainless looks good, but a stainless bar isn't as strong as chrome-moly. The old 935's used aluminium in many parts. I've seen cages done in nickel plate (looked fantastic, but had to be heavy). The most unique I've seen may have been a black car with a blackchrome finish on the roll bar. Stood out, but didn't call attention to it's self at the same time... Great for a street car.
I think a white cage in a coloured car looks unfinished (unless it's a race car with a white interior). A black cage often looks like it's bought off the self and isn't unique to that car. Painted in body colour is the easiest and safest way to go.