Most fudge recipes will call for you to let the fudge cool at room temperature. Fudge needs to cool slowly, rather than in the fridge, in order to stop the sugar crystallising too quickly. Covering your fudge stops it being contaminated while it is on your counter. Fudge can pick up other flavors really quickly and strongly, so it is advised you cover it simply for this purpose. You don’t want your fudge to pick up other flavors as it's so subtle.