Limited experience here. I have one machine with dovetails that are covered and another with linear rails, some of which are covered and others not.
And my experience is: it depends.
If dust is flying, covers are moderately useless unless they're really good. That dust has a habit of getting everywhere. Swarf and coolant, on the other hand: if the bellows are decent and stop most of the liquid then it's all pretty good.
On the other hand, unless you have some kind of automatic oiler system bellows are a PITA to get around to get the lube into or, even then, the dust out of.
If I was doing a lot of timber I'd say leave them open where you can get a rag at them. Same with the lead screws. For metal, bellows for sure.