People cover their webcams because the news told them scary hackers would be watching them in their private time. While yes that can be true, the media blew up way out of proportion and it caught on. There are no downsides to covering your camera though, so it isn't a bad thing.

I cover mine not out of paranoia of being hacked, but to avoid embarrassment say if I auto-joined a meeting or did something which turned it on in a conversation.

This isn't to say you shouldn't cover it. There are absolutely people who distribute malware specifically for getting access to webcams and mics. That footage/recording can subsequently be used for blackmail. The media tries to make it seem like every other time you open your laptop, you'll contract some mega virus that will let people record your entire life.