I always leave mine installed. But I clean it off really good with a waterhose about 4 times a year. It pays to keep the coils clean.
If you were in an area of severe cold, ice, and snow...I could see that covering the unit would be beneficial to keep ice from expanding, but you should actually run the unit once a month to keep the compressor oiled and working properly. If not, the tubes may get pinholes in them.