It is not necessary to cover your A/C unit, because they are designed to withstand the elements: winter snow and wind, fall rain and sleet, and summer heat. Covering your A/C unit will prevent some fading, but snow and rain don’t affect the internal components. Your unit should last about 15–18 years, which is much less time than it would take for any external part to break.
Protecting your unit from leaves and pine needles is more important than rain or snow. If your unit is under a needle-shedding pine tree or a small-leaf deciduous tree, it isn’t a bad idea to throw a board or other flat surface over the grill so the unit doesn’t fill up with leaves and needles.
If you do decide to cover your unit, make sure it is a breathable material such as canvas. Tarps and other waterproof materials will trap moisture underneath them and cause much more damage than any amount of snow, ice, or leaves.