Most window wells, in newer construction, if they were constructed properly, should have a drain in the bottom so that the well will not fill with water in case of a heavy rain. And in reference to Ron's comment: Basements do not get water in from rainfall (into window wells), he apparently doesn't live in Illinois. This very thing happened to a friend of ours and the pressure broke the window flooding the basement. But that was an older home.
The reason for a cover is to keep out lawn debris and the little critters, i.e. toads, field mice, rabbits, etc. from falling into the window well and to keep me from having to fetch them!
Innerweld has a really nice cover because it's a heavy metal grate that can be left open in the summer months and then covered to prevent snow from getting in during the winter.
Here is a link that might be useful: Innerweld
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Bar, sink on end. Glass upper cabs with middle shelf
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