Many of my favorite lentil recipes come from a book called "Indian Cooking" by Madhur Jaffrey. And every single recipe in the book says to cover the pot, so that's why I do it the way I do. I figure she knows as much or more about lentils than most anyone around.
I agree they will still cook uncovered, provided you add enough liquid to begin with. But if your pot starts to run short of liquid, then you have to add more and wait for it to come up to a simmer again. It just seems easier to put a lid on it.