SPD SL Cleat Cover, are they supposed to be attached all the time or removed on rides? I've always assumed you put them once and forget it, and still clip in with them, but then I read somewhere that Speedplay covers needs to be re-attached when you're walking. Is Shimano the same?

If yes, is there any cleat covers that you can always use without constant removal?
The whole point of cleat covers is to protect the mechanism while not riding, which requires that the cover covers the clipping surfaces. So, they need to be removed while riding. With Speedplay the covers are more important because the mechanism has most of the sensitive parts in cleat instead of pedal.

The Speedplay covers linked in comment do not actually cover the mechanism but provide a relatively walkable rubber sole over the metal cleat. Newer models have that part built into cleat and a separate plug for protection.