Just wondering. What is the incandescent bulbs coating made of? It is fluorescent powder or just lime dust or something resistant to the heat to create a difuse effect?

Different materials in use for that purpose.
Some use just glass etch (to make the surface matt), some use glass dust,...
The general requirement is mainly to not free up any gasses (mainly oxygen and water) after becoming hot and do not absorb that much light. All that includes the eventual binding agent each of trhese materials need (to adhere to the glass surface)

The most common material is silica powder, however some manufacturers use alumina, or calcium pyrophosphate - and very often different blends of these to best suit the kind of smoke coating equipment that is being used.

I wonder how that powder is applied to the glass. It is some sort of paint?

The powder is applied electrostatically.  The glass bulb is heated to just under its softening temperature with gas flames, and this makes the glass electrically conductive (the ions are more free to move when it is hot).  The glass is then charged to a few tens of kilovolts by applying that voltage to the metal block of the gas flames used to heat the glass.  The flames are of course also conductive, so they carry the charge over to the glass.  The glass is mounted on a teflon or other suitable isolating holder to allow it to become charged.  A small dose of the finely dividied silica powder is then weighed out on a Calumatic-type device, same as used to precisely measure and dispense tiny quantities of powders of drugs for dosing into medicines.  That dose is transferred to a vessel and then blown by compressed nitrogen through a silicone tube, and its movement gives it a static electric charge of opposite polarity than the glass bulb.  The powder is then blown into the glass bulb and the electrical charge difference causes it to stick to the glass surface with an almost perfectly uniform coating thickness.  Due to the high temperature of the glass, the powder also adheres relatively well to the surface.

In the old days the powder was mixed into a solvent of butyl acetate and indeed painted onto the inner surface of the bulb.  That was a slow process, with a lot of variation and required the lamps to be dried after coating, which took time.  The quantity of BA solvent also made it quite expensive.  So when Westinghouse developed the beautiful fast, efficient and cheap process of electrostatic coating, that was very quickly adopted by all lamp manufacturers.