In snow country I would cover them to reduce the accumulation of snow & ice under the a/c's own cover (which of course is full of ventilation holes). Multiple freeze/thaw cycles could conceivably cause physical damage if ice builds up inside, bending or breaking something. Probably only a small chance, but a potential nonetheless. Just something simple, maybe a piece of plywood on top so the snow piles up there rather than down inside.
Ditto for skylights in heavy snow country.