It's as Line6man said - it's an aesthetic thing more than anything else, and has to do with personal preference.
If you spend a lot of money on a fancy top, you may not want to cover it up. Strats and Teles are notorious for this, as they have pickguards that cover half or more of the body. If you spend the bucks to get a fancy top, one would think you'd probably want to see or display it.
I seriously doubt there's any difference in tonal quality.
I've done it both ways. If you don't have a pickguard, you'll tear up your finish over time. If you do have a pickguard, you'll tear up the guard and not see the finish. Pickguards are easier to replace than finishes or fancy wood, but if the money parts are covered up, what difference does it make? It's like fine furniture with plastic covers. How disgusting is that? And tore up is tore up, whether it's a guard or a finish.
So, you pays yer munny and you makes yer choice.