The microphone foam cover we provide with all UMIK-1/2 are also called windscreen/pop filter. They are used in "windy" environment to remove potential low frequency that the wind would create on the measurement capsule. One drawback is that they will also lower the natural high frequency response of your microphone. (not good)
Unless you've got an outdoor setup, most likely that your living room or Hometheater won't be that windy so best to not use the windscreen for that reason! :-)