I use 3 keggles in my setup and I think that lids on all 3 are a good idea for me, here's why:
HLT - I use a lid on this during the whole brewday. Keeps temps constant while waiting to use sparge water, plus keeps bugs and critters from falling in my brew water.
MLT - DEFINITELY need a lid on this baby, just to keep temps constant during the mash. The lid also keeps insects out.
BOIL KETTLE - I think a lid is needed after the boil is finished, I like to cover my boil kettle as it's cooling to help prevent any foreign yeasts or bacteria from getting into the wort. Also, keeps insects out.
I live in south louisiana, a few miles from the atchafalaya swamp, so we have tons of flying insects in the evening when I usually brew.
If you had to omit a keggle lid, I'd vote for the boil kettle - and only if you're not using an immersion chiller - because I wouldn't feel comfortable about a fully cooled wort sitting uncovered in the kettle waiting to be transferred.
If you use a CFC, your wort will be very hot, above pasteurization temps before being drained to the chiller, then fermenter, so risk of infection is greatly reduced.
My $0.02
Pangea