Someone has taken Einstein’s oft-misquoted remark, “If a cluttered desk is a sign of a cluttered mind, of what, then, is an empty desk?” to heart.
Drywall and plywood will eliminate the benefit of the rock wool for sound absorption. But I wouldn't just slap rock wool on everything anyway, you may end up with a too dead room. It's possible diffusion might better, I'd consult a professional to find out what would work best. Finally, radiators need space around them to work properly, they "radiate" the heat, it's not like a forced air system. I wouldn't enclose it in anything.