You are talking about the thin plastic that is put on the heat-sinks correct? You must remove these or else the heat-sinks will not be able to perform their job efficiently or even safely. You may also ruin your motherboard if you leave these on.
You have plenty of temperature sensors throughout. This board is designed for heat dissipation. You are fine leaving the dust covers on the slots when they aren't being used. That is exactly what this board is designed for.