Over the years I have used:
1) the old wire grid style covers for Jeeps. At the time I thought they looked cool and hoped they would protect the lenses while driving on and off the road. After several years driving around Alaska, I removed them because they a) rusted so much I could hardly get them open or shut, b) could not adequately clean behind them, c) had to replace several headlights due to stone chips, and d) finally gave up when one was punched out by a tree branch on the trail. They collected snow so fast as to be dangerous at night.
2) the plastic style used by KC and others that completely cover the lights rendering them not usable with the cover installed. These don't stand up to contact with anything substantial. I eventually threw them all away, and most of them were repaired with duct tape by that point. They were also a pain in the butt to take off and put on and were often left at home for that reason. One or two were lost on the trail because they don't stay on well. Whether they actually provided protection from stones is anyone's guess, since they were not installed during use, and were not always where they were thought to be otherwise. These covers change state when frozen, so using them in the winter makes them highly susceptible to breakage.
3) the clear plastic sort that are supposed to be able to be left on, usually made from plexi or some form of clear poly. Same issues as with the ones you can't see through, and if you make the mistake of trying to clean mud off of them on the trail, they are permanently damaged by scratching. Light transmissivity is so low on these that they hinder use of the lights (except when new out of the box). Even if they do protect the glass lens from damage, they tend to render the lights ineffective in time. Not a good trade off. They also break easily when cold.
4) the stick-on flexible super-resilient kind of glass protector cut to fit and applied directly to the glass. These worked about the best of anything I have ever tried, when protecting glass lenses. However, they are not going to stop bullets, rocks that act like bullets, or large branches of trees. They also don't last forever, and over a period of only 2 or 3 years will yellow out to the point that they, too, interfere with the lights. They are also susceptible to heat damage, so if you run super hot lights, these won't last very long. They will bubble underneath from the heat, collect moisture and dust, and fail. Heat also causes delamination from the glass, especially at the edges, where they will again collect water and dirt. They are not easily removable unless the glass underneath is in good condition, but will hold together a lens that has been damaged, leaving the light usable at least. They did not stop my lenses from being damaged by impact. No doubt they stopped small rocks and prevented typical bullet chips from such, but not all the rocks I found flying around in Alaska were that small. So, they work but are not perfect.
5) the plastic grid style used by KC and others. These are for bling factor, not for stopping rocks. Use them if you have to. I just toss them in a box and forget them.
6) naugahyde slip on covers. Keeps off the dirt, but offers no protection from impact. Old school nonsense. If you like the way they look, fine.
7) snap on Lexan. If you can find these for your lights, they offer the best combination of protection and light transmission. They are, however, susceptible to some of the same problems as poly plastic covers in that depending on how made, they can and will scratch, so treat them nice. They will also break, but it takes a lot more to break them. Not available for all lights as far as I can tell. If you can find good quality Lexan covers, they are very durable. If they can be swiped off the lights by contact with brush and such, tape them on.
8) built in Lexan lens. These are by far the best combination I have found. High quality, scratch resistant, high light transmission. Generally SAE/DOT approved for use as a primary light cover, or made from the same stuff as used by the auto makers for their aero-style light pods. What kind of bullet they will stop, I don't know, but they are more than durable for trail use. I have yet to see on damaged on or off road. They are not, however, offered on every brand or every style of light. They are not offered on inexpensive lights, so even if desirable, they are not readily available. On the other hand, they work so well, that I might, if given the choice, select the brand and style with Lexan lenses over a similar product with glass lenses, even though they cost more.
But to answer the question directly, sure. All lens covers I have used have allowed glass lenses to be chipped, holed, or shattered by impact. The only one so far that has not failed is the built in Lexan lens.