You hit the nail right on the head- with higher elevations, the turbo still compresses air, albiet a less dense initial charge. Combustion is affected and you will lose power, but IIRC it's something like 60% less power loss with a forced induction system vs. N/A
In regards to answering your question, I don't think you'll need a cooler plug at elevations. Typically people making more power (stage 2 at the minimum) run colder plugs