There's a lot of voodoo when it comes to covers, and their possible pros and cons. If there is any difference in the high frequencies, it is minimal, and the wind is altered accordingly if needed. Might be better shielded and less microphonic, however, I'm not sure if nickel or chrome will actually magnetically shield a passive transformer (which is what a pickup is in its simplest form).
That being said, I prefer covered pickups. Whether this is purely psychological or not, I can't say, but I certainly prefer covered pups to open.
