The underside has an adhesive. When the protective cover is removed, dust my attach. When you remove one from an LCD screen dust can attach. So your screen will end up with the dust.
I too, place the protective covers on my screens. The only time you would need to remove them is to replace them due to damage. Then you would clean the screen before placing the new one on it. Lately, I have been using the thin hardened thin glass versions. So much nicer. On the one occasion that one was damaged, the seller replaced it free.