^^ What Bean said. For the tiny amount of attenuation that the screens might have on the high frequencies, it's most definitely worth it to keep the windscreens on no matter where you're recording unless it's in a good recording studio. I made the mistake once (ONCE!
) of running a set of mics at a concert without screens. Not knowing that an a/c duct was randomly kicking on and blowing on them all night, the mics picked up every gust and fixing it in post was a royal pain in the ass.
In addition and to a lesser degree, the screens offer a small amount of protection for the capsule.