Keeping debris out of the ways and screws is pretty important in any machine that needs to be accurate and/or last. Some sort of way cover is always used on 'real' machines, whether it's accordion/bellows style (usually only for Z axis on bigger machines, accordion folded covers laying flat accumulate chips,) or sliding (usually metal,) covers. X axis on typical milling machines don't need covers because they're basically upside-down, so the mill table acts as its own cover.