There doesn't seem to be much concern about the dust itself-- which is bad for your turntable-- it gets everywhere-- and bad for your records. It gets in the grooves, creates ticks and pops that are not always easily removed with cleanings.
Some turntables should be used with the cover completely removed while others, like a SOTA Star Sapphire are designed to work with the cover on and closed. So like most things audio-- it just depends.
The least good thing to do is leave the cover on and up during playback.
I use a fine quality paintbrush to dust off the platter between plays, and the plinth every few days. Dust accumulation is bad for your gear.