It's definitely unusual that it came without a cover. They always come with one (including my two A7IVs). It could just be a slip up at the factory, but you might want to consider exchanging it just to feel more secure you didn't get someone else's returned camera.
And it is best to have that covered, especially in the rain or other harsh elements. I don't know if water would otherwise seep into the camera and do more permanent damage, but I wouldn't want to get the electrical contacts on the shoe itself wet. At minimum, it could interfere with properly using a flash or other device on the shoe until it dries.