First of all, having a propane tank out in the elements as it does its work combating local biting insects means that it will be exposed to all sorts of weather. A tank cover can help protect the tank from moisture, rust, and debris accumulating on the exterior, which can eventually lead to some level of decay.
The cover also provides a measure of camouflage. This not only helps your Mosquito Magnet and the attached propane tank blend into a natural setting to make it less visually obtrusive, it can also help break up some of the potentially bright-colored and shiny surfaces that may put off some insects. Mosquito Magnets certainly work perfectly well and are extremely effective whether you have a tank cover or not, but adding a cover to the setup is simply a good idea and may save you some money by not having to replace the tank down the road.