No, you do not need to cover it.  If you use an Exhaust Adapter or Dust collector, it will greatly minimize the dust that is generated from the tool making contact with the workpiece. STEPCRAFT sells enclosures that you can place the machine inside of which will prevent dust and debris from getting into the room.  It will also help reduce the noice of the machine during operation.  Regardless, there will always be some dust that gets on the machine when running.  Even fine particles of wood dust will get airborne and can stick to the machine.  That is why it is important to clean the machine daily and be sure to clean the tracks and lead screws every 20 hours of use and reapply grease.