If it's ceiling mounted and not subject to fingerprints (usually from passing toddlers) I wouldn't worry about it. Yes, a slight amount of dust may accumulate, but a good microfiber lens cleaning cloth will take care of that.
Of course, you'll probably get some responses from those who put it on everytime, but I don't see the benefit.
Of course, you'll probably get some responses from those who put it on everytime, but I don't see the benefit.