I would put a cover letter on every form(s) that you return to the USCIS, NVC or Embassy, although it may not be required it eliminates confusion and also helps you tick off and show that you have provided all the information required. i.e. with the I-130 package, adding a quick coversheet will show that you were aware of and included the required attachments, such as photos and G325A forms.
It also aids the person that is looking at your case. Some packages such as the I-864 can contain multiple forms, such as I-864, I-864A, Tax returns for different people, etc.. so be providing a cover sheet you can list the information in a formal manner and will help the person dealing with your case..
Another point is when you add a cover letter it lets you explain or add additional information if needed.
And after all.. its not going to hurt your case by adding one.. !!