Well, depends on the winch I suppose. My Ramsey rep8k has been in the elements for 10 or so years and always works when I need it, though it has gotten a little rust on it. I think that is also one of the values of the submersion tests magazines do, aside from dunking your winch which inevitably will happen wheeling, rain will seep in. So if you've got one of the winches that failed to pass a dunk test, I'd cover it.
"Aut viam inveniam aut faciam" - I will either find a way or I will make one.
1995 YJ, SOA, D44/60, 35"s
2008 Dodge Ram SLT 4x4