Don't know specifically about the Rega, but the general rule is -- dustcover off. Best answer -- listen for yourself and decide.
Rega says it's best with it on. My experience is totally contrary. Their alignment protractor puts the cartridge in the wrong place as well. What do you want from a company that says it is unnecessary to clean your records? I have owned a Planar 3 for many years and currently own a P3 and have experimented with both.
I've never heard a turntable setup that didn't sound markedly better with the dust cover off, although on my system I'm not sure I hear a real difference between the cover tilted up and completely removed. Many years ago, the conventional wisdom held that closing the dust cover allowed for reverberation of the amplified music within the cavity, which was picked up by the cartridge as feedback and degraded the overall quality of the sound. I can't say if this explanation is true or not, but it does seem to make some sense. Anyway, if your ears cant tell you which is better, then its not a problem either way :-).