Of course E-Books have covers! Take a look at Amazon, Barnes & Noble, Kobobooks, iBooks or from wherever you download your digital reading. The digital versions of printed books use their existing covers. Books posted exclusively as digital should have an attractive, colorful cover, as well. It's what sets your book apart from those with a simple gray rectangle that says 'This book must be boring!'
Let's face facts. Readers do judge a book by its cover. You cover is part marketing, part making a statement about your work and part standing out in an ever-growing crowd.