Generally speaking, whether advertised as "waterproof" or not most winches are already waterproof. At least fresh water won't hurt them though salt water is another story. Dirt or mud won't hurt them either, within reason, but if you have a synthetic rope, a cover could be beneficial.
First, mud getting into the strands of a synthetic rope could eventually weaken them through abrasion. And while good quality synthetic ropes are treated against UV exposure, using a cover would protect it from UV exposure more if your Jeep sits outside in the sun.