Never covered mine for the past 10 years (I have 3) but last year I did lose one due to the -15 deg overnight temps - typiclally it was the prettiest and best one!
We lost two-thirds of our camellia last winter - it's very odd, three branches just died off and are brown sticks, the other one is, as usual, carrying fat buds. We moved it from a large pot into the ground last spring - we did wonder if that had something to do with it, but then why didn't it all die off? Very odd.