I haven't tried a cover on my WSM yet but I would think along the same lines as the other folks here, you would want some place for the exhaust to go. Besides impeding the airflow, it has to make a mess all over everything.
I'm still trying to decide if I want to go smoker jacket route or some guys are buying insulated welders jackets and making their own "jacket" which blocks a majority of the wind yet leaves the exhaust open.
So far I'm cooked down in the mid 20's with no issues, however it wasn't windy.
WSM 22.5", One-Touch 22.5", Redhead 18.5" Smoke Joe Silver, Q200, "Mr. T"