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You can load them and leave them that way without the dust covers. The Magpul guys over at ARFcom have said that they have some loaded without dust covers... they've been that way for years without a problem.
With the revision of the Pmag to the 3rd generation, the 2nd gen (Rev M) ones have been relabeled to the MOE Pmag and they ditched the dust cover. It's just not needed.
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