Lack of air circulation and moisture buildup would be my biggest concern as this is the ideal breeding ground for disease and rot. If your winters are severe enough that you get a solid snow cover and/or harsh drying winds, then I would leave them somewhat covered. If however your winter is largely snow free and/or rainy, then pull back the leaves for sure. Either way, in the spring they will be a wet, soggy, matted mess that may actually act like a barrier to moisture. I would remove them in the spring and compost them.

Well, now you see why there's chocolate & vanilla ice cream!

I'd leave them.

In fact, I do leave them (& our winters aren't anything like zone 6.)

I always think it's better to protect the roots than not.

What kind of leaves? If their oak leaves like mine are, leave them! Oak leaves don't mat up like maple leaves do. As long as you shredded them up, then your golden. They'll just feed the soil and the worms! Good Stuff!

Are they perennials? I cover all my perennials with thick layers of leaves in the fall.

What to do can depend on your soil. With my well drained sand I have no problem covering the plants with lots of shredded leaves but my sister with here no so good draining clay has found she cannot because the added leaves hold too much moisture in the soil and the plants she covered with the leaves rotted.
If your soil drains really well covering the plants probably will not be harmful, but if your soil does not drain well the leaves may hold too much moisture in the soil which can be a problem.