The answer to your immediate question is no, wrapping Rockwool in plastic doesn't adversely affect sound absorption at all.(1)
But I'd like to also answer a more general question you didn't ask, i.e. how to do a good job in your studio, and my suggestion would be that before you start your work you should read as much as possible, and watch as many videos as possible, on the subject of fixing up a good home studio.
Once you start the work, it'll be difficult to change things. But if you invest some time in advance in study and research, you'll almost certainly get a better result and avoid a lot of mistakes. These days there are many good youtube videos on the subject, and if I were you I'd probably watch everything that I could find on the subject, before finalizing my own project and getting started with the work.
(1) For the record, thin plastic (or thin anything) has a modest absorption effect on the highest frequencies, and no effect at all on medium and low frequencies.